RUT Iron Condor - Dynamic Exit - 66 DTE - 16 Delta Continued

This post is a continuation of the prior post. In this post we will look at the backtest results for dynamic exits of the 66 days-to-expiration (DTE) Iron Condor (IC), with 16 delta short strikes, with different profit and loss exits as a percentage of the initial credit.  Recall that these RUT ICs were all constructed with 20 point wide credit spreads.  This is a non-directional options trading strategy that seeks to profit from a market that stays within a range between the two short strikes of the Iron Condor.

For some background on how the results are presented and to read my prior dynamic exit posts, please visit the summary page: Dynamic Exit Iron Condor Articles.

As discussed in the two overview posts on the summary page above, 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).

In this post we will only look at the Initial Credit % Profit/Loss Exit on each of the three starting structures:
  • 0.6:0.9 - 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 90% of its initial credit OR if the trade has a loss of 60% of its initial credit.  This can also be thought of as risk:reward; risking 60% to make 90%.

This equity curve chart below is similar to the equity curves in my prior posts, with one exception...the y-axis scale was increased from 1000% to 1400%.   All of the 16 delta and 20 delta equity curve charts contained at least one result set that exceeded the 1000% threshold on the prior charts. In all of the 16 and 20 delta charts, I have colored the y-axis in red, and included a dashed red line at the 1000% level to highlight the fact that the scale is different on these charts.

This equity curve chart below is similar to the equity curves in my prior posts.  In the chart below, all of the STD Iron Condor versions have blue equity curves, all of the DN Iron Condor versions have green equity curves, and all of the EL Iron Condor 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.


Iron Condor Dynamic Exit Equity Curves RUT 66 DTE 16 Delta Risk:Reward Versions
(click to enlarge)

The dynamic exit versions tested were closed at either 8 DTE or a profit of 90% of the initial credit received.  The parameters that varied were the risk or loss amount.  The trades were closed for a loss if the loss was either 60%, 70%, or 80% of the initial credit received.  All four of the Standard Iron Condor options trading strategy (STD) versions outperformed all of the Delta Neutral (DN) and Extra Long Put (EL) versions.  The top performers in terms of overall return, in order were the STD with no dynamic exit, STD-0.8:0.9, and STD-0.7:0.9.  The STD-0.8:0.9 version closed at either 8 DTE, a profit of 90% of the initial credit received, or a loss of 80% of the initial credit received.

The results by year, for each of the 66 DTE, 16 delta short Iron Condor options trading strategy versions are shown in the table below.

Iron Condor Dynamic Exit Return Statistics RUT 66 DTE 16 Delta
(click to enlarge)

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 66 DTE, 20 delta short strike Iron Condor options trading strategy.

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