Quant Mashup - DTR Trading
SPX Iron Condor - 2018 Review [DTR Trading]
In this post we'll look at how the SPX iron condor has been performing since I last analyzed its results back in 2016 (here). For this article, we'll just look at the following variations and how they performed from January 2007 through December 2018: 66 DTE - 25 pt wings, 12 Delta
- 5 years ago, 13 May 2019, 01:07pm -
SPX Straddle - 2018 Review [DTR Trading]
In this post we'll look at how the SPX straddle has been performing since I last analyzed its results back in 2015 (here). For this article, we'll just look at the following variations and how they performed from January 2007 through December 2018: 59 DTE - (25:10) / 2 DTE - exit if the
- 5 years ago, 7 May 2019, 10:25am -
SPX Strangle - 2018 Review [DTR Trading]
I've been a little curious how the SPX strangle has been performing since I last analyzed it's results back in 2015. For this article, we'll just look at the following variations and how they performed from January 2007 through December 2018: 59 DTE - 16 Delta Short Strikes (100:50) /
- 5 years ago, 18 Apr 2019, 10:48am -
Iron Condor Results Summary - Part 6 - IC Returns vs Initial Conditions Correlation [DTR Trading]
In the last article, we looked at correlations between Iron Condor returns and Iron Condor structures / trade management. Specifically, we started with the following list of areas to investigate: Correlation between Iron Condor strategy structure / management and result metrics Which result metrics
- 6 years ago, 13 Dec 2017, 10:32am -
Iron Condor Results Summary - Part 5 - IC Structure vs Metrics Correlation [DTR Trading]
In the last article, posted way back in August, I looked at the Iron Condor structures that appeared to perform the best for each of the seven metrics I tracked. Recall that I tested 3024 different Iron Condor strategy variations over the period from January 2007 through September 2016. This testing
- 6 years ago, 6 Dec 2017, 09:42am -
Broken Wing Butterfly Price and Volatility - CDN [DTR Trading]
In the last two posts (here, and here), we looked at how implied volatility (IV) and price of the option strikes in two broken wing butterfly (BWB) strategies changed with time. In this post, we'll look at another BWB strategy, the centered delta neutral (CDN) BWB. In this strategy, the short
- 7 years ago, 30 Oct 2017, 01:32am -
Iron Condor Results Summary - Part 4 - Top Performers By Metric [DTR Trading]
In this article we will look at a subset of the 3024 iron condor strategy variations that were tested between January 2007 and September 2016. Specifically, we will look at the 1512 iron condor strategy variations that used both stop losses and profit targets. Out of these 1512 variations we will
- 7 years ago, 29 Aug 2017, 11:02am -
Iron Condor Results Summary - Part 3 - 2017 Results [DTR Trading]
In this article we'll look more deeply at the following iron condor (IC) strategy variations: 38 DTE, 25 pt. wings, 20 delta shorts, 100% stop loss, 50% profit taking 80 DTE, 25 pt. wings, 20 delta shorts, 100% stop loss, 50% profit taking 80 DTE, 75 pt. wings, 12 delta shorts, 200% stop loss,
- 7 years ago, 7 Aug 2017, 12:35pm -
Iron Condor Results Summary - Part 2 - Loss Levels [DTR Trading]
In the last article we looked at the backtest results from 600,912 iron condor trades entered between January 2007 and September 2016. The focus in that article was on win rate and normalized P&L per day for each of the 3024 variations tested. Recall that we looked at combinations of: Trade
- 7 years ago, 22 Jun 2017, 12:18pm -
Iron Condor Results Summary [DTR Trading]
Over the last several months I have shared the results from an extensive set of backtests of SPX iron condors (IC). In all, I backtested 600,912 individual SPX IC trades entered at varying days to expiration (DTE) between January 2007 and September 2016. The prior articles can be found at the links
- 7 years ago, 9 May 2017, 10:35pm -
SPX Monthly Returns And Tail Risk [DTR Trading]
I had some time yesterday while waiting for an appointment, and re-read "A Comparison of Tail Risk Protection Strategies in the U.S. Market". One particular sentence in the paper caught my attention: "Remarkably, of the 24 months with greater than 5% loss in the S&P 500 between
- 7 years ago, 30 Apr 2017, 09:21pm -
73 DTE Iron Condor Results Summary [DTR Trading]
This article reviews the backtest results for iron condors (IC) entered at 73 days to expiration (DTE). These tests covered 9 IC variations, with short strike deltas at four locations (8, 12, 16, 20), utilizing 12 exits. In all, there were 432 test runs (9 variations x 4 deltas x 12 exits). Each
- 7 years ago, 23 Mar 2017, 08:28pm -
66 DTE Iron Condor Results Summary [DTR Trading]
This article reviews the backtest results of iron condors (IC) entered at 66 days to expiration (DTE). These tests covered 9 IC variations, with short strike deltas at four locations (8, 12, 16, 20), utilizing 12 exits. In all, there were 432 test runs (9 variations x 4 deltas x 12 exits). Each test
- 7 years ago, 8 Mar 2017, 01:30am -
45 DTE Iron Condor Results Summary [DTR Trading]
This article looks at iron condors (IC) entered at 45 days to expiration (DTE). The introduction to this series, here, describes the different variations of SPX iron condors (IC) and exits that were tested. As mentioned in the 38 DTE IC results summary post, these tests covered 9 IC variations, with
- 7 years ago, 17 Jan 2017, 10:13am -
38 DTE Iron Condor Results Summary - Part 2 [DTR Trading]
In the last post, 38 DTE Iron Condor Results Summary, I showed the backtest results from 97,416 iron condor (IC) trades. All of those test results were based on weekly expiration data at 38 days to expiration (DTE). In this post, we'll look at a few key metrics and how those metrics differ
- 7 years ago, 4 Jan 2017, 02:51am -
38 DTE Iron Condor Results Summary [DTR Trading]
The introduction to this series, here, described the different variations of SPX iron condors (IC) and exits that were tested at 38 days to expiration (DTE). Recall, the tests covered 9 IC variations, with short strike deltas at four locations, utilizing 12 exits. In all, there were 432 test runs (9
- 7 years ago, 22 Dec 2016, 05:02pm -
Momentum Rotation System AmiBroker Code [DTR Trading]
I've received several requests for details on the AmiBroker (AB) code and settings used for the backtest shown in my April post: Momentum Rotation 60 Day ROC System Results. That post used the AmiBroker Formula Language (AFL) code from my article in March 2015. That was a long time ago, so here
- 8 years ago, 28 Sep 2016, 12:26pm -
Momentum Rotation Multiple System Results [DTR Trading]
In the last two posts (here and here) we looked at the performance of a simple 60 day momentum rotation system. In this post, we will look at variations on that simple system, and how these variations performed during the same time period, using the same 10 ETF products. The 10 ETFs used by all of
- 8 years ago, 14 Jul 2016, 11:12am -
Momentum Rotation 60 Day ROC System Metrics [DTR Trading]
It's been a while since my last post. I had planned on writing this particular article about three months ago, but work got in the way of my writing and testing Over the next few weeks I will try to close out this series on momentum rotation using my 60 day ROC example written for AmiBroker.
- 8 years ago, 7 Jul 2016, 01:05pm -
Momentum Rotation 60 Day ROC System Results [DTR Trading]
In my last post, Yahoo Data and Momentum Rotation - Analysis of 2015 Data, the big take away was the importance of performing a full download / update of historical data before generating your signals. This is particularly important when using dividend adjusted data, which is typical for most
- 8 years ago, 11 Apr 2016, 02:40pm -
Yahoo Data and Momentum Rotation - Analysis of 2015 Data [DTR Trading]
I've taken a bit of a break from posting options strategy research, but before I dive back in I'm going to revisit some material I posted on Momentum Rotation systems last year. If you're new to my blog you may have missed my posts related to rotation system results and data. For the
- 8 years ago, 4 Apr 2016, 01:15pm -
SPX Straddle - Normalized Return Charts [DTR Trading]
The last article on RUT straddles (here) was very popular, so I thought I'd write a similar post on SPX straddles. Recall that from September, 2015 through November, 2015 I reviewed the backtest results form 28,840 short options straddles on the S&P 500 Index (SPX). You can read the summary
- 8 years ago, 3 Feb 2016, 12:49pm -
RUT Straddle - Normalized Return Charts [DTR Trading]
In the last two articles (here and here), we reviewed the backtest results of 28,840 short options straddles on the Russell 2000 Index (RUT). If you haven't read the last two articles, you may want to first read the introductory article for this series Option Straddle Series - P&L Exits. In
- 8 years ago, 26 Jan 2016, 08:57am -
RUT Straddle - Backtest Results Summary - Part 2 [DTR Trading]
This is a follow up to my RUT Straddle Backtest Results Summary and presents the RUT straddle results in a slightly different format. Basically tabular results in a structure similar to my iron condor and strangle results articles (here, here, and here) ... with each row associated with a strategy
- 8 years ago, 19 Jan 2016, 09:43pm -
RUT Straddle - Backtest Results Summary [DTR Trading]
Over the last seven weeks we reviewed the backtest results of 28,840 short options straddles on the Russell 2000 Index (RUT). In this post, I won't discuss how these trades were structured and managed. For background on the setup for the backtests, as well as the nomenclature used in the charts
- 8 years ago, 13 Jan 2016, 10:32am -
RUT Straddle - 66 DTE - Results Summary [DTR Trading]
This is the fifth article in a series looking at the backtest results of selling at-the-money (ATM) options straddles on the Russell 2000 index (RUT). For background on the setup for the backtests, as well as the nomenclature used in the tables below, please see the introductory article for this
- 8 years ago, 23 Dec 2015, 08:32am -
RUT Straddle - 59 DTE - Results Summary [DTR Trading]
This is the fourth article in a series looking at the backtest results of selling at-the-money (ATM) options straddles on the Russell 2000 index (RUT). For background on the setup for the backtests, as well as the nomenclature used in the tables below, please see the introductory article for this
- 8 years ago, 16 Dec 2015, 09:21pm -
RUT Straddle - 52 DTE - Results Summary [DTR Trading]
This is the third article in a series looking at the backtest results of selling at-the-money (ATM) options straddles on the Russell 2000 index (RUT). For background on the setup for the backtests, as well as the nomenclature used in the tables below, please see the introductory article for this
- 8 years ago, 9 Dec 2015, 06:27pm -
RUT Straddle - 38 DTE - Results Summary [DTR Trading]
This is the first article in a series where we will look at the backtest results of selling at-the-money (ATM) options straddles on the Russell 2000 index (RUT). In the prior series, we looked at the performance of this same strategy on the SPX. For background on the setup for the backtests, as well
- 8 years ago, 25 Nov 2015, 10:32am -
SPX Straddle - Backtest Results Summary - Part 2 [DTR Trading]
When I posted my SPX Straddle Backtest Results Summary I didn't plan on writing a follow up article. But after that post I received several emails asking if I could present the SPX straddle results in a slightly different format. Basically tabular results in a structure similar to my iron
- 8 years ago, 19 Nov 2015, 11:13am -
SPX Straddle - Backtest Results Summary [DTR Trading]
Over the last 40+ blog posts we took a fairly detailed look at the backtest results of 28,840 short straddles on the S&P 500 Index (SPX). I provided a bit more detail in these 40+ posts than usual. While I didn't provide all of my analysis on the SPX short straddles, there was enough to
- 8 years ago, 12 Nov 2015, 12:52pm -
SPX Straddle - 80 DTE - Results Summary [DTR Trading]
Over the last five blog posts we looked at the automated backtest results for 4040 options straddles sold on the S&P 500 Index (SPX) at 80 days-to-expiration (DTE). Eight different loss approaches were tested on these straddles. On top of these eight loss approaches, tests were conducted with no
- 9 years ago, 5 Nov 2015, 02:43pm -
SPX Straddle - 73 DTE - Results Summary [DTR Trading]
Over the last five blog posts we looked at the automated backtest results for 4160 options straddles sold on the S&P 500 Index (SPX) at 73 days-to-expiration (DTE). Eight different loss approaches were tested on these straddles. On top of these eight loss approaches, tests were conducted with no
- 9 years ago, 29 Oct 2015, 03:53pm -
SPX Straddle - 66 DTE - Results Summary [DTR Trading]
Over the last five blog posts we looked at the automated backtest results for 4160 options straddles sold on the S&P 500 Index (SPX) at 66 days-to-expiration (DTE). Eight different loss approaches were tested on these straddles. On top of these eight loss approaches, tests were conducted with no
- 9 years ago, 22 Oct 2015, 04:38pm -
SPX Straddle - 59 DTE - Results Summary [DTR Trading]
Over the last five blog posts we looked at the backtest results for 4120 options straddles sold on the S&P 500 Index (SPX) at 59 days-to-expiration (DTE). Eight different loss approaches were tested on these straddles. On top of these eight loss approaches, tests were conducted with no profit
- 9 years ago, 15 Oct 2015, 12:35pm -
SPX Straddle - 45 DTE - Results Summary [DTR Trading]
Over the last five blog posts we looked at the backtest results for 4080 options straddles sold on the S&P 500 Index (SPX) at 45 days-to-expiration (DTE). Eight different loss approaches were tested on these straddles. On top of these eight loss approaches, tests were conducted with no profit
- 9 years ago, 1 Oct 2015, 01:08pm -
SPX Straddle - 38 DTE - Manage Profits at 25% [DTR Trading]
In this post we look at the backtest results of selling a one-lot, at-the-money (ATM) straddle on the S&P 500 Index (SPX), initiated at 38 days-to-expiration (DTE). In this third post of five on 38 DTE straddles, we look at trades that use the same loss exits as shown in the first post, and in
- 9 years ago, 20 Sep 2015, 03:36am -
SPX Straddle - 38 DTE - Manage Profits at 10% [DTR Trading]
In this post we look at the backtest results of selling a one-lot, at-the-money (ATM) straddle on the S&P 500 Index (SPX), initiated at 38 days-to-expiration (DTE). In this second post of five on 38 DTE straddles, we look at trades that use the same loss exits as shown in the first post, and in
- 9 years ago, 18 Sep 2015, 06:56am -
SPX Straddle - 38 DTE - No Profit Management [DTR Trading]
This is the first article in a series where we will look at the performance of selling at-the-money (ATM) options straddles. For background on the setup for the backtests, as well as the nomenclature used in the charts and tables below, please see the introductory article for this series: Option
- 9 years ago, 15 Sep 2015, 07:37pm -
RUT Strangle - Backtest Results Summary [DTR Trading]
Over the last six blog posts we looked at the backtest results for over 13,700 options strangles sold on the Russell 2000 Index (RUT). Eight different exit approaches were tested on these strangles, including: Strangle (100:50) - exit if the trade has a loss of 100% of its initial credit OR if the
- 9 years ago, 3 Sep 2015, 04:49am -
RUT Strangle - High Loss Threshold - 80 DTE [DTR Trading]
This post reviews the backtest results of selling one-lot options strangles on the Russell 2000 Index (RUT), initiated at 80 days-to-expiration (DTE). The results in this post were derived from 2200 individual trades entered by the backtester. The results are grouped by the delta of the short
- 9 years ago, 27 Aug 2015, 12:34pm -
RUT Strangle - High Loss Threshold - 73 DTE [DTR Trading]
This post reviews the backtest results of selling one-lot options strangles on the Russell 2000 Index (RUT), initiated at 73 days-to-expiration (DTE). The results in this post were derived from 2312 individual trades entered by the backtester. The results are grouped by the delta of the short
- 9 years ago, 24 Aug 2015, 12:27pm -
RUT Strangle - High Loss Threshold - 66 DTE [DTR Trading]
This post reviews the backtest results of selling one-lot options strangles on the Russell 2000 Index (RUT), initiated at 66 days-to-expiration (DTE). The results in this post were derived from 2336 individual trades entered by the backtester. The results are grouped by the delta of the short
- 9 years ago, 21 Aug 2015, 10:30am -
RUT Strangle - High Loss Threshold - 59 DTE [DTR Trading]
This post reviews the backtest results of selling one-lot options strangles on the Russell 2000 Index (RUT), initiated at 59 days-to-expiration (DTE). The results in this post were derived from 2312 individual trades entered by the backtester. The results are grouped by the delta of the short
- 9 years ago, 17 Aug 2015, 12:24pm -
RUT Strangle - High Loss Threshold - 52 DTE [DTR Trading]
This post reviews the backtest results of selling one-lot options strangles on the Russell 2000 Index (RUT), initiated at 52 days-to-expiration (DTE). The results in this post were derived from 2336 individual trades entered by the backtester. The results are grouped by the delta of the short
- 9 years ago, 13 Aug 2015, 10:38pm -
RUT Strangle - High Loss Threshold - 45 DTE [DTR Trading]
This is the first article in a series that will review the performance of selling options strangles on the Russell 2000 Index (RUT). For background on the setup for the backtests, as well as the nomenclature used in the charts and tables below, please see the introductory article for this series:
- 9 years ago, 10 Aug 2015, 11:29am -
SPX Strangle - Backtest Results Summary [DTR Trading]
Over the last six blog posts we looked at the backtest results for over 13,900 options strangles sold on the S&P 500 Index (SPX). Eight different exit approaches were tested on these strangles, including: Strangle (100:50) - exit if the trade has a loss of 100% of its initial credit OR if the
- 9 years ago, 6 Aug 2015, 06:56pm -
SPX Strangle - High Loss Threshold - 80 DTE [DTR Trading]
SPX Strangle - High Loss Threshold - 80 DTE This post looks at selling one-lot options strangles on the S&P 500 Index (SPX), initiated at 80 days-to-expiration (DTE). The results in this post were derived from more than 2300 individual trades entered by the backtester. Other 80 DTE variations
- 9 years ago, 30 Jul 2015, 11:05pm -
SPX Strangle - High Loss Threshold - 73 DTE [DTR Trading]
This post looks at selling one-lot options strangles on the S&P 500 Index (SPX), initiated at 73 days-to-expiration (DTE). The results in this post were derived from more than 2300 individual trades entered by the backtester. Other 73 DTE variations will be posted on my Twitter feed,
- 9 years ago, 27 Jul 2015, 11:43am -
SPX Strangle - High Loss Threshold - 66 DTE [DTR Trading]
This post looks at selling one-lot options strangles on the S&P 500 Index (SPX), initiated at 66 days-to-expiration (DTE). The results in this post were derived from more than 2300 individual trades entered by the backtester. For background on the setup for the backtests, as well as the
- 9 years ago, 23 Jul 2015, 10:44pm -