SPX Iron Condor Comparisons

In this post we will look at the backtest results (summary statistics) for the three versions of the SPX "no touch" Iron Condor (IC) trades.  The three versions tested were:
  • Standard: 10 put credit spreads, and 10 call credit spreads

  • Delta Neutral: 10 put credit spreads, and from 5 to 10 call credit spreads - the number is adjusted at trade initiation to create a delta neutral IC.  This structure will reduce losses when up moves occur during the life of the trade.

  • Extra Long Put: 10 put credit spreads, 10 call credit spreads, and 1 extra long put.  This structure will reduce losses when down moves occur during the life of the trade.

The non-compounded annual growth rates for the three versions of the SPX "no touch" IC trades are shown in the first table.  The returns for the SPX ICs are highly variable across the three versions.  There are a couple of patterns that stand out though.  The first is that the 20 delta Extra Long Put version has the lowest returns of all of the trades at the 80, 66, and 52 DTE variations.  The second pattern is that the Delta Neutral version has the tightest return range across deltas for a given DTE, than the other two versions...for the 80, 52, and 38 DTE variations.  For example, at 80 DTE the Standard IC return range is 29.2% (51.4% - 22.2%), the Delta Neutral IC return range is 25.5% (54.8% - 29.3%), and the Extra Long Put IC return range is 36.0% (53.6% - 17.6%).  The Delta Neutral version appears to have the most stable returns across DTE and delta variations.
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The percent of winning trades for each of the three trade versions is shown in the next table.   The Delta Neutral version has higher win rates for nearly all of the DTE and delta variations. The Standard and Extra Long Put versions have fairly close win rates across most of the DTE and delta variations.
(click to enlarge)

In general the starting structure of each of the three versions does not have a huge impact on win rate...all three versions are fairly similar in terms of win rate.

The best trade for each of the three trade versions is shown in the next table.  As we would expect, the Standard version has the best trade (in terms of percent return) for each DTE / delta combination except for the 52 DTE / 20 delta variation.  The Stanrdard IC version contains more credit spreads than the Delta Neutral version, and does not pay for an extra long as with the Extra Long Put version.
(click to enlarge)


The worst trade for each of the three trade versions is shown in the next table.  In all but the 80 DTE / 16 delta variation, the version with the smallest worst trade is the Extra Long Put version.  This suggests that the the worst trades across the time period tested occurred to the downside...where the extra long put reduced the loss.
(click to enlarge)


Additional summary statistics for all of the trade versions across all DTE and short strike deltas is shown in the table below.
(click to enlarge)

You can get a copy of the above data, as well as all of the other summary statistics for these trades, by downloading the spreadsheet from the following page:
http://dtr-trading.blogspot.com/p/the-summary-statistics-for-no-touch-spx.html

The details associated with each of the backtests can be found in the posts below:
In the next post I will review the equity curves for the three versions of the RUT "no touch" IC trades (standard, delta neutral, and extra long put) at 80 DTE.

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