Iron Condor experiment

#1

I’ve been testing the viability of trading iron condors using the daily expirations. The instruments I’ve been working with are the 4 US indices, oil and natural gas.
These are the conditions that I’ve been working with:

  1. Trades are placed the previous day, usually between 6pm and 8pm.
  2. Trading days are Tuesday through Friday (the spreads aren’t available Sunday night for Monday).
  3. Upcoming news was ignored (exception - I exited trades prior to FOMC at 2 pm).
  4. Stop loss is set at 1:1 except US Tech 100, no stop loss for it at this time.

The first two weeks I traded only in demo. I liked the results so I moved several of the trades to live. In order to show one overall set of data I copied my live trades into my demo spreadsheet. Below shows a breakdown of 5 weeks of iron condors, just over 100 trades.

These are my live results so far.

These are the last two trading days.

So far so good. The up front cost isn’t fun but this is showing some interesting stats so far. The sample size is still small but i hope to keep adding trades to see what kind of long term profitability there may be.

I am most surprised by the performance of oil and natural gas. I didn’t start off trading natural gas so there are fewer trades in the sample. The average loss on oil so far has been ridiculous (-$7.60 on average). I pulled Wednesday out of the oil stats due to the inventory report so oil is just for Tuesday, Thursday and Friday.
US Tech 100 started off very strong but has struggled lately, possible due to earnings season (or maybe it’s just a volatile instrument). An interesting thing about the iron condors on tech100 is because of the way that the spreads are priced, the 1:1 loss level (for max profit) usually falls outside of the spreads floor/ceiling.

I will post updates about every 100 trades or so, assuming the wheels don’t completely fall off this thing.

#2

This is awesome! I was doing this very same thing in demo just a while ago, but only with Cl, and NQ.

I didn’t do the rest of the indices like you are, and I never considered NG, but my results were also quite positive as well. I tested it for about three weeks, and had one week that was slightly down because of the volatility of NQ, but overall I was quite happy. The main reason that I didn’t follow through taking it live was that I didn’t have the account size to trade this as safely as I would like, and due to my work, I am only there at the right time to put these into action on Monday evening for Tuesday, and Wednesday evening for Thursday. I may seriously reconsider my plans now, it may well be worth it if only on those days.

Thanks so much for your research here, they confirm the results I had as well!!

#3

Thanks yoshi. Account size is definitely a major factor for anyone placing these bigger condors. I think taking a long term approach mentally is also very important, as daily swings can be pretty big (especially when trading multiple instruments). These screenshots show some of the big ups and downs when trading all of the instruments as a set.

I’m going to place tech100 back into the demo side for tracking purposes for the time being. While it has been net profitable so far, it does contribute a big chunk to the drawdowns on the losing days. I may pair it with a binary strangle and see if that helps.

It will be interesting to see how all of this plays out in the fall, hopefully the success so far isn’t just related to the time of year.

#4

Nice job, keep us updated on prgress

#5

Bill are the ICs working out? Are you continuing to see positive results? Tks.

#6

The indices have been moving around a lot lately so those condors have been taking a beating. Natural gas continues to perform very well although there isn’t a good setup everyday. Oil continues to do well also.

Here are the stats with another 48 trades added in.

#7

Very nice! Keep it up and keep us updated on your results

#8

I’m going to discontinue tracking this after 172 trades. There is so much volatility right now you wouldn’t expect most of these iron condors to do well anyway. The original condition of the experiment was to trade these basically blind to any market conditions or news. Current conditions make it not worth the effort to keep up with the documenting and managing the stop triggers.

I wouldn’t call this a failure because it did highlight the potential in the iron condors for natural gas. I do still trade this one live and will continue to do so. It may only be a warm weather trade, will see what happens when it gets colder.

US Tech 100 still shows some potential, but the big swings in wins and loses make it more frustrating than an iron condor should be (it made $285 on Friday then lost $106 today. It may just need more active management. I had thought about using a binary straddle to help it, since I’m cutting out the other instruments that may be possible now.

#10

wmiller,

Are you using a 1:1 stop loss? If so try tightening your stops a bit. You will lose less on the losing side.

I just updated my post with my latest IC trade results. I have found them to be profitable even considering the high volatility lately. You said you made $285 one day and lost $106 the next. You’re always going to experience some sort of a drawdown in any strategy that you use. Personally I would love to net $179 every two days!

I really hope you continue trading iron condors. It would be nice having both of us keeping everyone updated.

Jeff

#11

Hey Jeff

I did set a 1:1 stop for these trades and agree that moving the stop loss in a bit may be good to try. I like your idea of placing stops closer to break even and have tried a few on shorter time frames (profitable overall but a very small sample).

#12

wmiller,

That is great news. Please continue testing. I just made (in demo) another $161 after fees trading Iron condors today. I took about 15 minutes placing my trades. I look forward to seeing your results!