Saturday, February 20, 2010

Performance Review OEX Weekly Iron Condor

Links to day-by-day review of live trades:
FEB OEX Weekly Iron Condors Day-by-day review (4 trades)
JAN OEX Weekly Iron Condors Day-by-day review (3 trades)

So, let me start with a log of all trades (Live and backtested) for this strategy, I’ve tested the OEX Weekly Iron Condor for 1 year before I dug into it, even if I wanted to test it further, as it seems the OEX weekly had very few strikes available back in 2008, so backtesting further was not an option:

This is fine, but let’s also look at a simulated equity curve chart based on this data:

You’ll notice this is by far one of the best equity curves I’ve posted on the blog. Why is that? The vital signs are awesome! Despite the relative small win/loss ratio, the percent of winning trades is huge. So, the trade results seems to be complying with the probabilities, win 80% of the time and it is golden.

With the win-loss ratio, percent wins and average win, you can run several simulation scenarios by using a very nice tool that Henry Carstens put together. To test your edge, go to and check it out for yourself, just plug in the variables and run a few scenarios to make sure your position is still a winner.

So, needless to say, I’m sticking around the OEX weekly for a while. Another key factor is the weekly feature. Notice that on any monthly trade you’d spend about 8 and a half years to reach 100 trades, but on the weekly strategies you go through 100 trades in just about 2 years! So you can crank up your money making machine much faster!

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