About this template
V1 Issues: Drawdowns. Only trades Wed.
V2 Improvements: 50% stoploss to reduce drawdowns. 30, 35, 40, 45 and 50 DTE expirations, trade on Wed (ending in 0) or Friday (ending in 5). Drops some symbols that don't perform well with 50% stoploss (MRK, GILD).
Other notes: Backtesting excluding VIX < 15 didn't improve drawdowns, quite the opposite, it makes it worse. Instead, backtesting showed something surprising: With IV range 10-30 and a different DTE for each symbol, most of the performance can be preserved with controlled drawdowns while implementing 50% stoploss. The table below summarizes the performance over 5 years ending 2/29/24 with drawdown (DD). USO required 30 DTE with 0-45 IVR for 52.4 (-6.8).
5 years through 2/29/24, $25K allocation, open 1 new position sequentially, 10% of allocation, long delta .05, short delta .20, 50% stoploss, 50% stopgain, exit 1 day before expiration.
Symbol | 30 DTE return (DD) IVR 10-30 | 35 DTE return % (DD) IVR 10-30 | 40 DTE return % (DD) IVR 10-30 | 45 DTE return % (DD) IVR 10-30 | 50 DTE return % (DD) IVR 10-30 | 60 DTE return % (DD) IVR 10-30 |
MDLZ | 65.6 (-4.1) | 80.3 (-5.0) | 38.3 (-7.3) | 40.4 (-4.1) | 37.8 (-2.5) | 13.6 (-4.0) |
CAH | 48.6 (-6.3) | 49.2 (-7.9) | 36.4 (-10.3) | 30.1 (-6.9) | 18.4 (-4.9) | 20.2 (-4.1) |
EFA | 50.4 (-8.5) | 61.6 (-7.1) | 49.6 (-8.1) | 40.6 (-6.5) | 27.9 (-2.4) | 14.7 (-1.7) |
CPB | 57.8 (-7.9) | 61.2 (-7.9) | 56.4 (-8.9) | 30.5 (-7.7) | 45.5 (-4.4) | 1.0 (-3.6) |
SO | 47.3 (-6.3) | 52.1 (-4.7) | 46.0 (-6.8) | 48.4 (-8.5) | 19.0 (-9.3) | 16.3 (-2.6) |
XLP | 48.9 (-7.1) | Error | Error | 31.8 (-3.5) | 14.4 (-4.7) | 11.0 (-5.8) |
URBN | 31.1 (-7.5) | Error | Error | 28.0 (-6.4) | 29.2 (-3.9) | 13.1 (-4.1) |
WMB | 44.1 (-5.5) | 56.9 (-4.7) | 51.3 (-4.0) | 46.8 (-5.6) | 22.0 (-4.6) | 5.1 (-6.0) |
CL | 42.5 (-9.6) | 46.2 (-7.7) | 63.7 (-2.4) | 35.4 (-3.4) | 26.8 (-3.2) | 13.9 (-3.0) |
ROST | 34.5 (-5.2) | 24.8 (-6.3) | 2.6 (-16.1) | 14.2 (-6.9) | 14.0 (-4.5) | 13.4 (-2.2) |
ED | 47.6 (-4.6) | 34.2 (-4.1) | 21.6 (-4.7) | 25.3 (-4.2) | 9.1 (-4.4) | 14.6 (-2.6) |
KMI | 61.5 (-4.1) | 60.5 (-5.6) | 67.1 (-5.4) | 75.7 (-4.4) | 36.3 (-2.7) | -6.0 (-10.9) |
USO | 15.6 (-4.3) | 17.3 (-4.2) | -2.4 (-13.5) | -7.7(-14.6) | 17.1 (-2.9) | 8.9 (-4.3) |
PBR | 56.3 (-6.4) | 56.4 (-6.9) | 46.6 (-4.2) | 17.4 (-10.0) | 17.9 (-4.4) | N/A |
Background: This is a fixed-delta (.2 short, .05 long) iron condor bot, supported by extensive backtesting. It makes use of the latest Option Alpha features, such as Bot Symbols, ranking the symbols (by IVR, from high to low), and Symbol Tags to select slightly different strategies to execute within the single bot.
Symbols: MDLZ CAH EFA CPB SO XLP URBN WMB CL ROST ED KMI USO PBR