Iron Condor Credit Target Backtest

So I've always been wondering the different that many people trade the tranches iron condor strategy slightly differently and credit target is one of the variation. So recently I ran some quick test on BYOB and see some interesting inspiration. Before I throw in the results and data, let me explain abit more what I'm testing.

First of all, it still goes back to this tranche strategy I posted last year. The core strategy remains pretty much the same except there are several configurables that could be tweaked. So this post is purely about different credit target.

Backtest Setup

I'll be running per minute entry in OptionOmega for each credit spreads using the CSV way I shared here. Duration would be only for 1 May 2023 - 7 June 2023 just to keep this simple, otherwise running it for longer duration will take quite awhile. Hope it's sufficient for us to see a certain pattern to this comparison.

These are the sample OO settings:

All else will remain the same except the credit, I'll run $1 / $1.25 / $1.5 / $1.75 / $2.

Also to upfront determine what are the stats of interest, I'm basically mainly looking at the P/L. That will show the key relative profitability comparison. Other than P/L, we also will look at the Win Rate, Avg Winner, MAR for reference.

Backtest Results

I'll drop in the separate Put and Call runs results first.

From this separate results, we can already see some very consistent pattern across ALL the stats here. P/L and MAR gets better as we increase credit target up to $2.

So I put them together and run them in OO's portfolio mode, here's the results.

It's pretty much a combined stats of the separate put/call. But it's still showing the higher the credit target, the better the results. MAR did remain 17.4 when we increase to $2.

BYOB Backtest

OO is not enough? I also ran it on BYOB, here's the settings I used. Those 10 timings are handpicked nearest to what I'm running recently. Small note the commission of $1.5 per spread is underestimated, should've been nearer to $2.5 but it doesn't really matter as we're seeing relative comparison.

I basically ran this for 2023 YTD and also ran it for the year 2021 because that's a relatively bullish year with lower VIX like what we having now.

Here's the results for  YTD:

Here's the results for 2021:

It's not hard to spot the consistent relative pattern that higher credit target did increase P/L. On the last row I even added more slippage for $2 credit target with $0.5 slippage instead of $0.25 for the rest. Just to show the potential more drag impact.

Another thing to note in all these test is the Average Win, this should be referred to as the average credit of the backtest instead of the credit target. E.g. setting credit target at $2 only get $1.5 average credit. This is to reference in real trades we should use average credit as our target and not 'credit target'.

Conclusion

I'm not sure if I missed anything but these backtests that only change credit target did showed higher profitability when we simply increase our credit. If you can think of anything I missed, please feel free to discuss. As this is something new I found, I'm still considering whether to run my trades in a higher credit or not. Really hope to hear more inputs from others if any.