Trading the Iron Condor Strategy for monthly income
- Thread starter wagross
- Start date
What would you recommend to look at instead?
Matt_ORATS
Sponsor
There is not much to go on here as far as reward to risk tolerance.
It is a long process starting with backtesting.
We have 10 million backtests just for SPY to get a sense of how this strategy may work out.
We test with varying DTE, deltas, spread price/stock price, and options environments levels: VIX, SMA, RSI, IVpercentile, and skew.
For example now we are in a moderate VIX, stock >200SMA, stock<50SMA, oversold RSI, high IV pctl, and high slope environment for SPY.
You can view how your strategy does in any combination of two of these parameters.
https://gyazo.com/8e3b7e5078b3c7bed978b36b2217b61a
If you select the current environment for this strategy, here are the top performing strategies for my favorite reward:risk sort, our 'best return on risk' that ranks the dailyP&L/(worstMonth,worstYear,maxDrawdown).
https://gyazo.com/4926e434bbaf334f67aaa999bb0491d7
The highest ranking strategy is the 45 DTE, 30/17 delta, 4% spreadPrice/stockPrice, tested when the RSI is oversold, exit with a -25% stop loss or +50% profit.
https://gyazo.com/f51394bdf8c431001761ac5bb643bf2a
You should spend hours honing in on the right strategy for you. You can compare similar strategy to see if you are overfitting:
https://gyazo.com/a49386c900285171dfd22489c630cc48
Sort these Descending to see poor performing similar backtests.
We have a ton of performance metrics that you should familiarize yourself with:
https://gyazo.com/5984b75429dbc80044796948b0e3e4d1
Once you find a strategy you like you can save it to your favorites and press the Scan for Options buttons to see the highest ranked trades in the options scanner.
https://gyazo.com/557c34a9df838cf9d53cdce44b04fee0
Here's the top trade. This is not a recomendation, obviously, but you can check the payoff picture, see what the trade did from yesterday, even look at the minute by minute history of the trade over the past few months.
https://gyazo.com/6ee4a0d84fa3da786a2e48a95430efaa
Matt_ORATS
Sponsor
You are welcome. Know that there is much more to do. For example, if you look at similar backtests there are some losers:
https://gyazo.com/e8301846b88fd2f4572ddb4f698b9fca
The good thing about those is that the exit triggers are tight and the spreadPrice/stockPrice is small negative (small credit). That is not how the target strategy trades.
Holding the spreadPrice/stockPrice still has some bad strategies even with reasonable exits.
I would pass on this strategy.
https://gyazo.com/084ba7750d8062ab5c85dad61c9ee088
idk... month after month I'm writing more credits than debits in the aggregate, to the tune of 6-8% of my capital per month. I haven't had the energy to record and follow every entry to its conclusion (some 60 trades each month), as my friend suggested to me, that is until this month. So we'll see, as all the recorded trades expire by the end of September. My seat of the pants conclusion is: a few substantial winners, many marginal winners and an occasional downright loser.
I tend to roll the tested side for a debit, roll the untested side for a small credit, to re-center the trade and then try to hold the trade as long as possible to take advantage of theta.
For sure I could do better, which is why I started this thread. But I'm not ready to abandon the strategy for some unnamed better strategy.
I'm always working on new ideas: most recently selling ITM call spreads for a down market.
Meanwhile thanks again for your substantial input.
I tend to roll the tested side for a debit, roll the untested side for a small credit, to re-center the trade and then try to hold the trade as long as possible to take advantage of theta.
For sure I could do better, which is why I started this thread. But I'm not ready to abandon the strategy for some unnamed better strategy.
I'm always working on new ideas: most recently selling ITM call spreads for a down market.
Meanwhile thanks again for your substantial input.