Day trading 0DTE Condors

What I noticed on this strategy is that if ythe delta are low (5-10), the breakeven stoploss will get hit before a wing is tested.
Whilst is the delta are 20+, the stop order is normally filled around the wing.
 
wxytrader said:
The risk reward is horrible that far otm...I just looked at a 7% (.07) delta vertical call spread and the risk was $74, and the reward was $26
More...
Did you even read the strategy?


He uses two separate vertical spread stop orders as stop loss, set for the total credit amount.
So... If slippage and skipping do not play a part, his max risk is a price zig-zag that hits both stops. That would give a 1:1 loss.
If stops are hit on one side only, it's a breakeven.
If price stays inside the stops (not the IC wings) it's 1:1 gain.

It appears that the % of win rate have the breakeven at the top, then the full credit, and in a small % the double stop loss.

The realised risk/reward is not so bad, but one must use stop order or manually act intraday.

What I find is that with delta that low, breakeven stops are filled before the wings get tested.
Narrowing it to 20 to 25 delta will actually extend the stop order fills a few points more than the 10delta. This is if volatility doesn't change much.

Unfortunately I am useless at running backtests.
 
cesfx said:
Did you even read the strategy?


He uses two separate vertical spread stop orders as stop loss, set for the total credit amount.
So... If slippage and skipping do not play a part, his max risk is a price zig-zag that hits both stops. That would give a 1:1 loss.
If stops are hit on one side only, it's a breakeven.
If price stays inside the stops (not the IC wings) it's 1:1 gain.

It appears that the % of win rate have the breakeven at the top, then the full credit, and in a small % the double stop loss.

The realised risk/reward is not so bad, but one must use stop order or manually act intraday.

What I find is that with delta that low, breakeven stops are filled before the wings get tested.
Narrowing it to 20 to 25 delta will actually extend the stop order fills a few points more than the 10delta. This is if volatility doesn't change much.

Unfortunately I am useless at running backtests.
More...

I can adjust the backtest for you, written delta on 25 delta? Bought on 20?
 
cesfx said:
Did you even read the strategy?


He uses two separate vertical spread stop orders as stop loss, set for the total credit amount.
So... If slippage and skipping do not play a part, his max risk is a price zig-zag that hits both stops. That would give a 1:1 loss.
If stops are hit on one side only, it's a breakeven.
If price stays inside the stops (not the IC wings) it's 1:1 gain.

It appears that the % of win rate have the breakeven at the top, then the full credit, and in a small % the double stop loss.

The realised risk/reward is not so bad, but one must use stop order or manually act intraday.

What I find is that with delta that low, breakeven stops are filled before the wings get tested.
Narrowing it to 20 to 25 delta will actually extend the stop order fills a few points more than the 10delta. This is if volatility doesn't change much.

Unfortunately I am useless at running backtests.
More...

Slippage (i use 10 cent in my backtest) and skipping (not tested) will probably be more with higher deltas...
 
cesfx said:
What I noticed on this strategy is that if ythe delta are low (5-10), the breakeven stoploss will get hit before a wing is tested.
Whilst is the delta are 20+, the stop order is normally filled around the wing.
More...
cesfx said:
Did you even read the strategy?


He uses two separate vertical spread stop orders as stop loss, set for the total credit amount.
So... If slippage and skipping do not play a part, his max risk is a price zig-zag that hits both stops. That would give a 1:1 loss.
If stops are hit on one side only, it's a breakeven.
If price stays inside the stops (not the IC wings) it's 1:1 gain.

It appears that the % of win rate have the breakeven at the top, then the full credit, and in a small % the double stop loss.

The realised risk/reward is not so bad, but one must use stop order or manually act intraday.

What I find is that with delta that low, breakeven stops are filled before the wings get tested.
Narrowing it to 20 to 25 delta will actually extend the stop order fills a few points more than the 10delta. This is if volatility doesn't change much.

Unfortunately I am useless at running backtests.
More...

Yeah but at those deltas the premium is garbage...and the risk to reward is even worse. What does this strategy work out to if you factor in working 8 hrs a day, 5 days a week monitoring it?

Also, the price zig zags practically every day to touch all the deltas that generated any premium intraday...you haven't noticed this? Otherwise you could just sell 20 delta options and rely on an 80% win rate lol. Actually its even worse because cot is 2x delta. At the very least one of your stops is going to get hit everytime.

But really the answer to if this works is why is he sharing it, and trying to sell a webinar on how to trade it?

I hate to break it to you guys but there is no holy grail to options strategies.
 
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