Performance Review RUT Iron Condor

Day-by-day Review of Live trades:
FEB RUT Iron Condor Day-by-day review Content:
JAN RUT Iron Condor Day-by-day review
RUT Iron Condor - Day by day review
JUL RUT 30-Day Iron Condor (day-by-day review)
JUN RUT 30-Day Iron Condor (day-by-day review)
JUN09 RUT 50-Day Condor (Day-by-Day Review)
MAY RUT 50-Day Condor (Day by day Review)

So, let me start with a log of all trades (Live and backtested) for this strategy, I’ve tested the RUT Iron Condor for 2 years before I dug into it, the log bellow illustrates the results. One thing I’ve noticed is how much difference there is between 2 years and 1 year, because I decided to focus all my positions on at least 1 year horizon, I used the 2 years of data just for information, all my analysis is done based on the last 1 year of performance.



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



You’ll notice in the above picture that in the short term time-frame the position is going through a slump, however, even more telling is the fact that the trade’s vital signs are not so good, the win-ratio is relatively low for an income strategy, and this could mean trouble. With these two numbers, I used Henry Carstens’s forecaster to test the edge, go to http://www.verticalsolutions.com/tools/pl_forecaster_pctwins.html 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.



After running the simulation many times I’ve noticed the edge is positive, but the equity curves were not the most exciting ones, a lot of draw-downs or side-ways cycles. With this information in mind I decided to leave this strategy in the back burner, and re-allocate my capital to other strategies that have a better profile and are likely to keep me in the green for longer periods of time. I also have a limited bandwidth of how many strategies I can trade, and in this case, the more I can focus on fewer strategies the better off I get.

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 http://www.verticalsolutions.com/tools/pl_forecaster_pctwins.html 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!