CustomMenu

Monday, August 7, 2017

Iron Condor Results Summary - Part 3 - 2017 Results

In this article we'll look more deeply at the following iron condor (IC) strategy variations:
  1. 38 DTE, 25 pt. wings, 20 delta shorts, 100% stop loss, 50% profit taking
  2. 80 DTE, 25 pt. wings, 20 delta shorts, 100% stop loss, 50% profit taking
  3. 80 DTE, 75 pt. wings, 12 delta shorts, 200% stop loss, 50% profit taking
These strategy variations appeared to be the strongest based on their metrics, and the stability of their metrics. A summary of all of the articles in this series can be found here.

Recall, that in this series of IC articles we looked at three different starting structures (see introduction):
  1. Standard (ST): equal number of call spreads and put spreads
  2. Delta Neutral (DN): fewer call spreads than put spreads ... can better withstand up moves
  3. Extra Long Put (EL): same as ST, but with one extra long put ... can better withstand down moves
In the sections below, we'll look at how these three structures (ST, DN, EL) perform relative to each other in each of the three strategy variations listed at the top of this page.

Lastly, in the prior articles in this series, I  used data from trades running from the January 2007 expiration through the September 2016 expiration.  In this article I have expanded the results to include trades from the January 2007 expiration through the June 2017 expiration.


IC Strategy 1  (38 DTE, 25 pt. wings, 20 delta shorts, 100% stop loss, 50% profit taking)

The equity curves for the three structures, executing trades only using the monthly options, are shown below.

(click to enlarge)

The equity curves for the standard (ST) and delta neutral (DN) look better than the extra long put structure, with the DN looking the best. Neither the DN or ST structures really started performing well until January 2012. Overall, these equity curves at 38 DTE are pretty jagged.

The returns for each of these structures over the last 12 months of backtests are shown in the tables below.

(click to enlarge)
(click to enlarge)
(click to enlarge)

The July 2016 expiration hit the DN and ST structures pretty hard, but the EL structure made money during that expiration. The V bottom at the end of June triggered stop loss exits on the DN and ST structures.

The December 2016 expiration was the next losing trade, with upside stop losses being triggered (DN 8-Dec-2016, EL 25-Nov-2016, ST 7-Dec-2016). The smallest loss on this expiration occurred with the EL structure.

The March 2017 expiration was again the result of upside stop losses being triggered (DN 23-Feb-2017, EL 15-Feb-2017, ST 15-Feb-2017). The smallest loss on this expiration occurred with the DN structured.

The highest total returns for this 12 month period were associated with the EL structure, with second place going to the ST structure.

The metrics for each of the three structures are shown in the table below. There are three major groupings in this table, with each grouping containing the results for a specific structure (DN, EL, ST). For each structure, there are three rows of metrics organized as follows:
  1. First row - results from trades on weekly expirations from Jan 2007 through Sep 2016
  2. Second row - results from trades on weekly expirations from Jan 2007 through June 2017
  3. Third row - results from trades on monthly expirations from Jan 2007 through June 2017
(click to enlarge)

In general, the metrics are pretty stable across the different time periods and frequencies. Metrics for the last 12 months were:
  1. DN - win rate: 75%; average p&l/trade: 1.3%
  2. EL - win rate: 83%; average p&l/trade: 6.3%
  3. ST - win rate: 75%; average p&l/trade: 3.5%


IC Strategy 2  (80 DTE, 25 pt. wings, 20 delta shorts, 100% stop loss, 50% profit taking)

The equity curves for the three structures, executing trades only using the monthly options, are shown below.

(click to enlarge)

None of these equity curves look great, but the DN equity curve looks the best and has been in an uptrend since March 2009. As with the 38 DTE strategies presented first, these 80 DTE variations have fairly jagged equity curves.

The returns for each of these structures over the last 12 months of backtests are shown in the tables below.

(click to enlarge)
(click to enlarge)
(click to enlarge)

The trade on the September 2016 expiration was a loser for both the EL and ST structures. Upside stop losses were triggered on these trades on 8-Jul-2016 and 18-Jul-2016 respectively.

The January 2017 expiration was a loser across all three structures. Upside stop losses were triggered on all of these structures on the following dates: 1) DN 6-Jan-2017, 2) EL 21-Nov-2016, and 3) ST 7-Dec-2016.

The February 2017 expiration was a loser for the EL and ST structures. Upside stop losses were triggered on these trades on 13-Dec-2016 and 10-Feb-2017 respectively.

The last losing trades occurred on the April 2017 expiration for both the EL and ST structures. Upside stop losses were triggered on these trades on 15-Feb-2017 and 24-Feb-2017 respectively.

All of the losses on these 80 DTE trades occurred due to upside moves. Not surprisingly, the DN structure performed the best during the last year since it better handles upside moves.

The metrics for each of the three structures are shown in the table below. As mentioned above, this table first groups the metrics by structure (DN, EL, ST), and then by time period / frequency.

(click to enlarge)

The metrics for the DN and EL structures were fairly consistent across time periods and frequency. The ST structure was not as stable, specifically with its P&L/trade numbers. The Jan-2007 through Sep-2016 period had the highest returns, and these return numbers dropped significantly when the period was expanded to Jan-2007 through Jun-2017. Trading this structure on a monthly cycle reduced the per trade returns even more. Metrics for the last 12 months were:
  1. DN - win rate: 92%; average p&l/trade: 9.2%
  2. EL - win rate: 67%; average p&l/trade: 0.4%
  3. ST - win rate: 67%; average p&l/trade: 0.4%


IC Strategy 3  (80 DTE, 75 pt. wings, 12 delta shorts, 200% stop loss, 50% profit taking)

The equity curves for the three structures, executing trades only using the monthly options, are shown below.

(click to enlarge)

With the lower delta short strikes and larger stop loss, the equity curves for this family of strategies were generally smoother than the prior two families of strategies.  The equity curve for the DN structure appears to be the most consistent, but the curves for all of these structures have been flat to down for the last two years.

The returns for each of these structures over the last 12 months of backtests are shown in the tables below.

(click to enlarge)
(click to enlarge)
(click to enlarge)

The first losing trades occurred with the September 2016 expiration for the EL and ST structures. Upside stop losses were triggered on 14-Jul-2016, and 20-Jul-2016 respectively. This was a losing month with the other 80 DTE strategy for these structures as well.

The January 2017 expiration trades were losers for all three structures. Upside stop losses were triggered for all three structures: 1) DN 13-Dec-2016, 2) EL 8-Dec-2016, and 3) ST 9-Dec-2016.

The last losing trades occurred with the April 2017 expiration and were the result of upside stop losses being hit on the EL and ST structures. Both of these trades were exited on 1-Mar-2017.

All of the losses for these 80 DTE trades were again due to upside moves. The DN structure was the clear winner with the other two structures having negative returns for the last 12 month period.

(click to enlarge)

The metrics for the DN structure was fairly consistent across time periods and frequency. The EL and ST structures were not as stable, specifically with their P&L/trade numbers. The Jan-2007 through Sep-2016 period had the highest returns, and these return numbers dropped when the period was expanded to Jan-2007 through June-2017. Trading this structure on a monthly cycle reduced the per trade returns even more. Metrics for the last 12 months were:
  1. DN - win rate: 92%; average p&l/trade: 3.0%
  2. EL - win rate: 75%; average p&l/trade: -2.7%
  3. ST - win rate: 75%; average p&l/trade: -2.8%


Summary

I didn't really like the performance of these three families of strategies, and was a bit disappointed with their equity curves. After looking at this data, I decided to look at all 3024 strategy variations again and rank them.

I created a composite score for each of the 3024 strategy variations by equal weighting 7 metrics:
  1. Avg. P&L / trade
  2. Biggest Loss
  3. Avg. P&L / day
  4. Win %
  5. Sortino Ratio
  6. Profit Factor
  7. Avg DIT Winner (%DTE). 
Each strategy ended up with an integer score from 2 to 92, with the possible range being 0 to 100. Using this approach, many strategies ended up having the same score. The rankings of the strategy variations covered in this article were:
  1. 38 DTE, 25 pt. wings, 20 delta shorts, 100% stop loss, 50% profit taking
    1. DN: 70
    2. EL: 43
    3. ST: 60
  2. 80 DTE, 25 pt. wings, 20 delta shorts, 100% stop loss, 50% profit taking
    1. DN: 62
    2. EL: 36
    3. ST: 73
  3. 80 DTE, 75 pt. wings, 12 delta shorts, 200% stop loss, 50% profit taking
    1. DN: 81
    2. EL: 81
    3. ST: 83
Out of the 3024 strategy variations tested, only 1512 used both stop losses and profit targets. Out of these 1512 strategy variations, only 54 have a score of 80 or greater. In the next article, we'll try to find some better performing strategy variations.


Follow my blog by email, RSS feed or Twitter (@DTRTrading).  All options are available on the top of the right hand navigation column under the headings "Subscribe To RSS Feed", "Follow By Email", and "Twitter"

Friday, August 4, 2017

Weekly Trade Summary: July 30 - August 5

I didn't close any trades this week, but I entered one new trade.  Details of this week's trading below:

(click to enlarge)

I currently have 7 open trades, with expirations in Aug (2), and Sep (3), Oct (2):

(click to enlarge)

Total defined risk for these trades 39.8% of the account net liquidation value.

30 trades have been closed this year...16 wins and 14 losses. Return on the account for the year is at 2.7%.  Total win rate is at 53%. The win rate on the core trades is at 62%. Not happy with the core trade win rate. Of the 7 open trades, 3 currently have a positive P&L.

Broken wing butterflies are not performing as well as last year. I am digging into the iron condor backtest results a bit more right now to see how well they have performed in 2017.

I plan to work on part 3 and part 4 of the the IC backtest summary this weekend. If all goes well, I will publish part 3 next week.


Follow my blog by email, RSS feed or Twitter (@DTRTrading).  All options are available on the top of the right hand navigation column under the headings "Subscribe To RSS Feed", "Follow By Email", and "Twitter"

Weekly Trade Summary: July 23 - July 29

Having a difficult time creating these weekly trade update blog posts...super busy with work...so this is one week late.

I didn't close any trades this week, but I made three adjustments and entered one new trade.  Details of last week's trading below:

(click to enlarge)

The details of the adjusted trades are shown below:
  • Original Trade Entry: June 21 - BWB on the Aug 31 expiration (post)
(click to enlarge)
  • Adjustment: July 17 - BWB on the Aug 31 expiration (post)
(click to enlarge)

  • Original Trade Entry: June 27 - BWB on the Sep 15 expiration (post)
(click to enlarge)
  • Adjustment: July 17 - BWB on the Sep 15 expiration (post)
(click to enlarge)

  • Original Trade Entry: July 19 - BWB on the Sep 29 expiration (post)
(click to enlarge)

I currently have 6 open trades, with expirations in Aug (2), and Sep (3), Oct (1):
(click to enlarge)

Total defined risk for these trades 33.3% of the account net liquidation value.

30 trades have been closed this year...16 wins and 14 losses. Return on the account for the year is at 2.7%.  Total win rate is at 53%. The win rate on the core trades is at 62%. Not happy with the core trade win rate. Of the 6 open trades, 3 currently have a positive P&L.

Broken wing butterflies are not performing as well as last year. I am digging into the iron condor backtest results a bit more right now to see how well they have performed in 2017. My IC research has been on hold for about one month now due to vacation and work.


Follow my blog by email, RSS feed or Twitter (@DTRTrading).  All options are available on the top of the right hand navigation column under the headings "Subscribe To RSS Feed", "Follow By Email", and "Twitter"

Saturday, July 22, 2017

Weekly Trade Summary: July 16 - July 22

I had a number of adjustments last week, as well as a new trade (that ended up getting split across two days), and two expired trades.  I was a bit late in adjusting because I was on vacation...I chose to not login and check my trades while on vacation and figured that worst case those trades would end up being small losses.  Details of last week's trading below:

(click to enlarge)

The details of the expired trades are shown below...both of these trades expired for small losses. Totally my fault since I failed to watch and adjust these trades (work and vacation!):
  • Original Trade Entry: May 12 - BWB on the Jul 21 expiration (post)
(click to enlarge)
  • Adjustment: June 21 - moved some upper longs on the Jul 21 expiration (post)
(click to enlarge)

  • Original Trade Entry: May 18 - BWB on the Jul 21 expiration (post)
(click to enlarge)
  • Adjustment: June 21 - moved some upper longs on the Jul 21 expiration (post)
(click to enlarge)

The details of the adjusted trades are shown below:
  • Original Trade Entry: June 8 - BWB on the Aug 11 expiration (post)
(click to enlarge)

  • Original Trade Entry: June 21 - BWB on the Aug 31 expiration (post)
(click to enlarge)

  • Original Trade Entry: June 27 - BWB on the Sep 15 expiration (post)
(click to enlarge)

I currently have 5 open trades, with expirations in Aug (2), and Sep (3):

(click to enlarge)

Total defined risk for these trades had dropped to 24.4% of the account net liquidation value.

30 trades have been closed this year...16 wins and 14 losses. Return on the account for the year is at 2.7%...not happy with that number!  Total win rate is at 53%. The win rate on the core trades is at 62%. Not happy with the core trade win rate. Of the 5 open trades, 3 currently have a positive P&L.

Broken wing butterflies are really struggling lately and not performing as well as last year. I am digging into the iron condor backtest results a bit more right now to see how well they have performed in 2017. My IC research has been on hold for about one month now due to vacation and work.


Follow my blog by email, RSS feed or Twitter (@DTRTrading).  All options are available on the top of the right hand navigation column under the headings "Subscribe To RSS Feed", "Follow By Email", and "Twitter"

Weekly Trade Summary: July 2 - July 15 (vacation!)

I was out of the country on vacation during this two week period and did not enter or adjust my existing trades.




Follow my blog by email, RSS feed or Twitter (@DTRTrading).  All options are available on the top of the right hand navigation column under the headings "Subscribe To RSS Feed", "Follow By Email", and "Twitter"

Friday, June 30, 2017

Weekly Trade Summary: June 25 - July 1

Last week I entered one SPX broken wing butterfly (BWB) on the Sep 15 expiration, and expired my BWB on the June 30 expiration for a profit. The new trade, and the details of the expired trade are shown below:

(click to enlarge)

  • Original Trade Entry: April 18 - BWB on the June 30 expiration (post)
(click to enlarge)

  • Adjustment: May 18 - moved some upper longs on the June 30 expiration (post)
(click to enlarge)

I currently have 5 open trades, with expirations in July (2), Aug (2), and Sep (1):

(click to enlarge)

Total defined risk for these trades had dropped to 28.5% of the account net liquidation value.

28 trades have been closed this year...16 wins and 12 losses. Return on the account for the year is at 2.9%...not happy with that number!  Total win rate is at 57%. The win rate on the core trades is at 67% and creeping up. Not happy with the core trade win rate. Of the 5 open trades, 4 currently have a positive P&L.

Broken wing butterflies are really struggling lately and not performing as well as last year. I am digging into the iron condor backtest results a bit more right now to see how well they have performed in 2017.

I will be out of the country over the next two weeks, and don't anticipate making any trades or adjustments...but we'll see!


Follow my blog by email, RSS feed or Twitter (@DTRTrading).  All options are available on the top of the right hand navigation column under the headings "Subscribe To RSS Feed", "Follow By Email", and "Twitter"

Weekly Trade Summary: June 18 - June 24

I keep falling behind in my weekly trade summaries for the blog.  Work and summer activities get priority over the blog, but I'll try to catch up today.

During the week of June 18th I entered one SPX broken wing butterfly (BWB) on the Aug 31 expiration and made adjustments on my two July 21 expiration trades. This trade activity is shown below:
(click to enlarge)
  • Original Trade Entry: May 12 - BWB on the Jun 21 expiration (post)
(click to enlarge)
  • Original Trade Entry: May 18 - BWB on the Jun 21 expiration (post)
(click to enlarge)

I currently have 5 open trades, with expirations in June (1), July (2), and Aug(2):
(click to enlarge)

Total defined risk for these trades is at 30.0% of the account net liquidation value.

27 trades have been closed this year...15 wins and 12 losses. Return on the account for the year is at 2.6%...not happy with that number!  Total win rate is at 56%.  The win rate on the core trades is at 65% and at the very low end of the expected range. Not happy with the core trade win rate either!

Since I'm a week behind in posting this update, I can say that I did enter another trade during the week of June 25th...The summary for the week of June 25th will be posted in the next day or so.


Follow my blog by email, RSS feed or Twitter (@DTRTrading).  All options are available on the top of the right hand navigation column under the headings "Subscribe To RSS Feed", "Follow By Email", and "Twitter"

Thursday, June 22, 2017

Iron Condor Results Summary - Part 2 - Loss Levels

In the last article we looked at the backtest results from 600,912 iron condor trades entered between January 2007 and September 2016. The focus in that article was on win rate and normalized P&L per day for each of the 3024 variations tested.  Recall that we looked at combinations of:
  • Trade entry dates based on days to expiration (DTE)
  • Iron condor wing widths
  • Iron condor short strike position based on delta
  • Iron condor structures (standard balanced (ST), extra long put (EL), and delta neutral (DN))
  • Stop loss as a percentage of credit received (risk)
  • Profit target as a percentage of credit received (reward)

In this article we will look at a subset of those 3024 iron condor variations...the 2016 iron condor variations that used a profit target. Most traders don't want to carry their trades to expiration, but instead want to exit based on predefined profit targets and stop loss levels.

This article will look at several metrics in those 2016 iron condor variations, and group them by stop loss level. Many traders select strategies based on the amount of capital at risk, and a stop loss level can help define this amount. This article is meant to: a) help identify the optimal strategy variations based on stop loss level, and b) help identify the overall top performing strategy variations.


Stop Loss - 100% of credit received
  • 100% Stop Loss - Top 10 Strategy Variations By Metric
At this stop loss level, the trades entered at shorter DTE (specifically 38 DTE) dominate the top 10 average normalized P&L per day readings. This trend is visible even in the top 50 strategy variations at this stop loss level. The strongest combination to maximize P&L per day with a 100% stop loss level was 38 DTE, 25 point wings, 20 delta short strikes, standard structure (ST), with profit taking at 50%.
P&L Per Day - Top 10 Variations 

To maximize trade returns at this stop loss level, you'd look to initiate your trade between 73 and 80 DTE, with 25 point wings, with 20 delta short strikes, using the standard balanced IC structure (ST), with profit taking at between 50% and 75%.
P&L Per Trade - Top 10 Variations

Looking at the top 10 profit factors at this stop loss level sees another shift in the top performing strategy variations. The top profit factors were still associated with the 73 to 80 DTE starting range, but now we see the top variations having 50 point wings, with 8 delta short strikes, using the delta neutral (DN) IC structure, with profit taking leaning towards the 50% level.  The DN structure still dominates as we expand results to look at the top 25. It's also worth noticing that these combinations also have some of the highest Sortino ratios at this stop loss level.
Profit Factor - Top 10 Variations

The top 10 win rates at the 100% stop loss level were associated with strategy variations with short strikes at 8 delta and profit taking at 50%. These top variations also tended to have wing widths in the 50 to 75 point range, and also leaned toward delta neutral (DN) IC structures.  These top performing variations started anywhere from 59 to 80 DTE.
Win Rate - Top 10 Variations

  • 100% Stop Loss - Bottom 10 Strategy Variations By Metric
In contrast to the top 10 P&L per day strategy variations, the bottom 10 used the extra long put (EL) IC structure, with mid range starting DTE (45 - 59).
P&L Per Day - Bottom 10 Variations

The bottom 10 P&L per trade values were associated with mid range starting DTE (45 - 59), short strike deltas in the 8 - 12 range, and the extra long put (EL) IC structure.
P&L Per Trade - Bottom 10 Variations

The bottom 10 profit factors were also associated with strategy variations starting in the low to mid range DTE (38 - 66), with 25 point wings, 20 delta short strikes, and the extra long put (EL) IC structure.
Profit Factor - Bottom 10 Variations

At the 100% stop loss level, we see the bottom 10 strategy variations using 25 to 50 point wings, with 20 delta short strikes, using the extra long put (EL) IC structure, and taking profits at 75%.
Win Rate - Bottom 10 Variations

  • 100 % Stop Loss Summary
At the 100% stop loss level there were several strategy variations that work well, but these three stood out:
    1. 38 DTE, 25 pt. wings, 20 delta shorts, ST structure, 100% stop loss, 50% profit taking
    2. 80 DTE, 25 pt. wings, 20 delta shorts, ST structure, 100% stop loss, 50% profit taking
    3. 80 DTE, 50 pt. wings, 8 delta shorts, DN structure, 100% stop loss, 50% profit taking


Stop Loss - 200% of credit received
  • 200% Stop Loss - Top 10 Strategy Variations By Metric
As we move to the 200% stop loss level, the 38 DTE trades are no longer leading in the P&L per day metric.  The top 10 readings were dominated by trades initiated at 45 DTE, 25 point wings, 20 delta short strikes, using the standard balanced (ST) IC structure, with profit taking at 50%.
P&L Per Day - Top 10 Variations

The top 10 P&L per trade readings at this stop loss level were associated with strategy variations starting at 80 DTE, with 25 - 50 point wings, with 20 delta short strikes, using the standard balanced (ST) IC structure, with profit taking between 50% and 75%.
P&L Per Trade - Top 10 Variations

At this stop loss level, the top 10 profit factor readings were associated with strategy variations staring at 80 DTE, with 50 to 75 point wings, with 8 - 12 delta short strikes, and profit taking at 50%. There was not a clear pattern of IC structure out performance.
Profit Factor - Top 10 Variations

The top 10 win rates were dominated by trades starting at 80 DTE, 75 point wing widths, 8 delta short strikes, and profit taking at the 50% level.  The two top performing strategy structures were the extra long put (EL) structure, but following these top two positions, there was not a strong winner based on structure.
Win Rate - Top 10 Variations

  • 200% Stop Loss - Bottom 10 Strategy Variations By Metric
The bottom 10 P&L per day readings were again dominated by the extra long put (EL) structure with mid range DTE values of 52 to 66.  The wing width and short strike delta pattern present in the bottom ten variations did not continue when I looked at the bottom 50 performers. There was also no pattern present in profit taking level.
P&L Per Day - Bottom 10 Variations 

At the 200% stop loss level, the worst performing P&L per trade readings were associated with strategy variations starting between 38 and 59 DTE, with 8 delta short strikes, using the extra long put (EL) structure, and taking profits at 50%.
P&L Per Trade - Bottom 10 Variations

The lowest 10 profit factor values were associated with strategy variations starting between 38 and 59 DTE, with 25 point wings, with 20 delta short strikes, using the extra long put (EL) structure, and taking profits at 75%.
Profit Factor - Bottom 10 Variations

For the bottom 10 win rate values at the 200% stop loss level, we see the trend continue. The lowest readings are associated with strategy variations starting between 38 and 66 DTE, with 25 point wings, 20 delta short strikes, and profit taking at 75%.
Win Rate - Bottom 10 Variations

  • 200 % Stop Loss Summary
There were several decent strategies at the 200% stop loss level, but these stood out:
    1. 45 DTE, 25 pt. wings, 20 delta shorts, ST structure, 200% stop loss, 50% profit taking
    2. 80 DTE, 25 pt. wings, 20 delta shorts, ST structure, 200% stop loss, 50% profit taking
    3. 80 DTE, 75 pt. wings, 12 delta shorts, DN structure, 200% stop loss, 50% profit taking


Stop Loss - 300% of credit received
  • 300% Stop Loss - Top 10 Strategy Variations By Metric
At the 300% stop loss level, we see both shorter term and longer term variations appear in the top 10 P&L per day readings.  The top variations were 80 DTE, with 25 to 50 point wings (leaning towards 25 points!), 16 to 20 delta short strikes, using the standard balanced (ST) IC structure, with profit taking at 50%.
P&L Per Day - Top 10 Variations 

The top 10 P&L per trade readings were associated with variations initiated at 80 DTE, with 25 to 50 point wings, 16 to 20 delta short strikes, using the standard balanced (ST) IC structure, with profit taking at 75%.
P&L Per Trade - Top 10 Variations 

The top 10 profit factors were all associated with variations initiated at 80 DTE.  Wing widths tended toward the 50 to 75 point range, with deltas between 8 and 12, and profit taking at 50%.  There was no clear winner in terms of structure, with ST and DN having the strongest showing.
Profit Factor - Top 10 Variations

The top 10 win rates were also strongly associated with trades starting at 80 DTE.  Expanding the results to the top 30 highlighted that the top variations used 75 point wings, with short strike deltas between 8 and 12, and profit taking at 50%.  All structures were about equally present in the to 30.
Win Rate - Top 10 Variations

  • 300% Stop Loss - Bottom 10 Strategy Variations By Metric
The worst 10 performing variations were associated with low to mid starting DTE (38 - 66), 25 point wings, 16 to 20 delta short strikes, with the extra long put (EL) IC structure. 
P&L Per Day - Bottom 10 Variations 

The worst 10 P&L per trade numbers were associated with variations starting between 38 and 52 DTE, with 25 point wings, 8 to 12 delta short strikes, the extra long put (EL) IC structure, and profit taking at 50%. This pattern was present in the bottom 30 variations.
P&L Per Trade - Bottom 10 Variations 

The bottom 10 profit factor value were associated with low to mid starting DTE (38 - 66), 25 point wings, 20 delta short strikes, the extra long put (EL) IC structure, and profit taking at 50%.
Profit Factor - Bottom 10 Variations 

The worst 10 win rates were associated with low to mid DTE (38 - 66), 25 point wings, 20 delta short strikes, and profit taking at 75%.
Win Rate - Bottom 10 Variations

  • 300 % Stop Loss Summary
At the 300% stop loss level there were several strategy variations that work well, including:
    1. 80 DTE, 25 pt. wings, 8 delta shorts, ST structure, 300% stop loss, 50% profit taking
    2. 80 DTE, 50 pt. wings, 16 delta shorts, ST structure, 300% stop loss, 75% profit taking
    3. 80 DTE, 75 pt. wings, 12 delta shorts, DN structure, 300% stop loss, 50% profit taking


Stop Loss - NA - no stop loss
  • No Stop Loss - Top 10 Strategy Variations By Metric
For variations not using a stop loss, the top 10 P&L per day readings were associated with strategies starting at 80 DTE, with 25 point wings, 16 to 20 delta short strikes, using the standard balanced (ST) IC structure, and taking profits at 50%.
P&L Per Day - Top 10 Variations

The top 10 P&L per trade readings were associated with 80 DTE trades, using 25 to 50 point wings, 20 delta short strikes, with the standard balanced (ST) IC structure, and profit taking leaning toward 75%.
P&L Per Trade - Top 10 Variations

The top 10 profit factor readings were also associated with strategies starting at 80 DTE, with 8 delta short strikes, using the delta neutral (DN) IC structure, and profit taking at 50%.  The top 30 had all wing widths present in approximately equal numbers.
Profit Factor - Top 10 Variations

The top 10 win rates were associated with strategies starting at 80 DTE, using 75 point wings, with 8 delta short strikes, leaning towards the delta neutral (DN) IC structure, and profit taking at 50%.
Win Rate - Top 10 Variations

  • No Stop Loss - Bottom 10 Strategy Variations By Metric
The bottom 10 strategy variations in terms of P&L per day readings were associated with trades starting at 38 DTE, 25 point wings, using the extra long put (EL) IC structure.  There was no trend in short strike deltas and profit taking level.
P&L Per Day - Bottom 10 Variations

The bottom 10 P&L per trade readings were associated with trades starting at 38 DTE, 25 point wings, 8 to 12 delta short strikes, using the extra long put (EL) IC structure, and profit taking at 50%.
P&L Per Trade - Bottom 10 Variations

The worst 10 profit factors were also associated with trades starting in lower DTE range of 38 to 45 DTE, 25 point wing widths, and the extra long put (EL) IC structure. Short strike deltas were leaning towards the upper end of 16 to 20, and profit taking level was leaning towards 75%.
Profit Factor - Bottom 10 Variations

The lowest 10 win rates were associated with low to mid DTE levels of 38 to 52 DTE, 25 point wings, 20 delta short strikes, and the 75% profit taking level.  
Win Rate - Bottom 10 Variations

  • No Stop Loss Summary
The top performing strategies not using a stop loss included:
    1. 80 DTE, 25 pt. wings, 20 delta shorts, ST structure, no stop loss, 50% profit taking
    2. 80 DTE, 75 pt. wings, 8 delta shorts, DN structure, no stop loss, 50% profit taking


Summary

This was a fairly long article, but hopefully I've highlighted a strategy variation or two that you'd be comfortable trading...or modifying to suit your style. In the analysis above, it was clear that there were strategy variations at every stop loss level that were trade-able. Here are a few points that I noticed:

  • Normalized Average P&L Per Day
The top 10 P&L per day readings were about the same across the four different stop loss levels. As stop loss level increased, the required DTE also increased for these top P&L per day readings.  At the 100% stop loss level, there were a number of variations starting at 38 DTE, while at the 300% and no stop loss levels, the top variations tended towards 80 DTE.
At the lower stop loss levels, the best P&L per day numbers were associated with the 20 delta short strikes.  As the stop loss level increased, the top strategy variations started to include all of the different short strikes (8, 12, 16, and 20). 
Lastly, the best P&L per day numbers at the 100% stop loss level had the lowest win rates, but the smallest largest loss numbers.  As stop loss level increased, the win rate increased and the largest loss also increased.
  • Normalized Average P&L Per Trade
As stop loss level increased, the top P&L per trade readings also increased.  Win rates and profit factors also tended to increase with increasing P&L per trade readings.
Not surprisingly, the top P&L per trade readings were nearly all associated with strategies starting at 80 DTE, with 20 delta short strikes, using the standard balanced (ST) IC structure.
  • Profit Factor
As stop loss level increased, the top 10 profit factors also increased.  Win rate also increased with increasing profit factors.
  • Win Rate
As stop loss level increased, the top win rates also increased.  The top win rates were associated with strategies starting at 80 DTE, with 75 point wings, 8 delta short strikes, delta neutral (DN) IC structures, with profit taking at 50%.
The top win rates at the 100% stop loss level were lower (in the 80% range), but had some of the smallest largest loss numbers.  As win rate increased with stop loss level, largest loss numbers also increased (along with P&L per trade, P&L per day, and profit factor). 
  • Largest Loss
The smallest largest loss numbers tended to be associated with wing widths in the 50 to 75 point range, with 8 delta shorts.  The delta neutral (DN) structures had the smallest loss numbers at the low stop loss values, and the extra long put (EL) structures had the smallest loss numbers where no stop loss was used.
With no stop loss, the 80 DTE, 25 point wing, 8 delta short strike, EL, profit taking at 50% looks very interesting: largest loss is 62% of credit received, 99% win rate, 4.8% return per trade, and 30 DIT.
  • Sortino Ratio
Across stop loss levels, the highest Sortino Ratios were associated with trades starting at 80 DTE, 50 point wings, and profit taking at 75%.  At lower stop loss levels, the highest Sortinos were associated with 8 delta short strikes, with the 12 to 16 delta range dominating as stop loss level increased.

In the next article, I will look more deeply at the following strategy variations and how they are impacted by the three different IC structures:
  1. 38 DTE, 25 pt. wings, 20 delta shorts, 100% stop loss, 50% profit taking
  2. 80 DTE, 25 pt. wings, 20 delta shorts, 100% stop loss, 50% profit taking
  3. 80 DTE, 75 pt. wings, 12 delta shorts, 200% stop loss, 50% profit taking
I may analyze one additional strategy in the next article based on reader comments...so let me know if there is a variation in addition to the three above that you'd like me to review!


Follow my blog by email, RSS feed or Twitter (@DTRTrading).  All options are available on the top of the right hand navigation column under the headings "Subscribe To RSS Feed", "Follow By Email", and "Twitter"