RUT Iron Condor - Dynamic Exit - 38 DTE - 8 Delta

Starting with this post, and spanning the next seven or eight posts, I will show the backtest results for dynamic exits of 38 days-to-expiration (DTE) Iron Condors (IC), with different delta short strikes.  In this post I wills show the results for the 8 delta short strike 38 DTE versions.

For some background on how these results are presented, please review the two overview posts at:

As discussed in the two overview posts, we will look at the same three Iron Condor starting structures that have been backtested on this blog: Standard (STD), Delta Neutral (DN), and Extra Long Put (EL).

Also as discussed in the two overview posts, we will look at three different exits on each of these three starting structures:
  • ML40% - this is a Margin Loss % Exit.  Trades using this exit strategy either exit at 8 DTE OR if the trade has a loss greater than 40% of the margin requirement for the trade. (ML40% = Max Loss 40%)
  • BSP - this is a Price Movement Exit.  Trades using this exit strategy either exit at 8 DTE OR if the price of the underlying (RUT) moves below the strike of the short put.  (BSP = Below Short Put).
  • 0.6:0.6 - This is an Initial Credit % Profit/Loss Exit. Trades using this exit strategy either exit at 8 DTE OR if the trade has a profit of 60% of its initial credit OR if the trade has a loss of 60% of its initial credit.  

This equity curve chart below should look very similar to the equity curves in my prior posts.  In the chart below, all of the STD IC versions have blue equity curves, all of the DN IC versions have green equity curves, and all of the EL IC versions have red equity curves.  The solid lines represent the equity curves for the "no touch" version, while the dashed lines represent the equity curves for the dynamically exited versions.


(click to enlarge)

For the 38 DTE, 8 delta short strike ICs, the 40% margin loss exit yielded the highest return for each of the starting structures.  The next best exit, exited trades when the price of the underlying moved below the short strike of the put credit spread.  The Standard Iron Condor strategy (STD) with the 40% margin loss (ML40%) exit yielded the highest overall return.

The details associated with each of the starting structure backtests can be found in the posts below:

In the next post I will show the results for the 38 DTE, 8 delta short strike IC, with varying Initial Credit % Profit/Loss Exits.

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