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!

02/19 Daily Summary

I missed a couple of days this week, not something I’m proud of, but simply happened this time. I’m now back on the sweet spot, with all my trade monitors updated and ready to resume my daily journaling process.
I have been thinking about writing a few e-books, this week got me thinking about writing a lessons learned manual.. Something I spent quite a few trading dollars to learn, paying the school of hard knocks.. Would you be interested in purchasing such an e-book? Let me know your feedback.

02/19 NDX Fast Butterfly

Closed the NDX Fast Butterfly this week for a small profit. The NDX refused to post a negative day for the entire week. It kept on rising, but I must say, this rise is like a watching someone move painfully up the stairs, not very healthy up-side move I must say....

02/19 MNX Iron Butterfly

As much as I wanted to touch the trade, I decided not to mess with it during this week, left it all for the market to decide (with contingent orders). The deltas are higher than I usually let them be, but in the same time, volatility compressed through the week and I see that if it gets to my up-side adjustment I’ll be able to hedge without any major impact in the P/L.

02/19 NDX Iron Butterfly

Got through the first week without having to adjust the position, it seems to me that getting off to a good start is usually half of the battle on any of those income strategies, so this is a good one!

02/19 OEX Weekly Iron Condor

The PUT side expired Today, so this week was a losing week for the trade, I captured a few lessons learned after discussing with fellow traders here in California who trade this strategy:
1) Enter the position mid-day instead of early morning;
2) Be suspicious if you’re getting over .40c for 80% probability of profit (I was getting .70c for the position I got in this week)
3) Enter the trade as a full condor, no reason to force with single contract orders. In other words, do not force execution unless you have an extremely good reason why.