https://www.sandvand.net/2023/04/30/how-i-trade-the-0dte-breakeven-iron-condor/ The stats are interesting. What do you think?
I'm currently doing a backtest on it. It looks promising. I will post the results when they are complete..
Interesting results, indeed. He trades ShortIronCondor (it has 4 legs). But I think a ShortStraddle (or ShortStrangle) is easier to trade (b/c this has only 2 ShortLegs and no LongLegs), and should give a better result, IMO. Ie. for 0DTE with such liquid options, buying the protective outer LongStrikes is IMO unnecessary when protective StopLimit order(s) get used --> saves much money, therefore also the result should become much better. Would be interesting to see some backtest or simulation results comparing both strategies on 0DTE.
I haven’t watched the video yet, but he explicitly stated that it is not a mechanical system. It would be interesting to know what criteria he is using to open trades.
This is from his presentation (the slides in the link in your OP): Here's more info: https://www.sandvand.net/category/options-trading/ And here's a 2yr old posting of him about his strategy:
What does he mean by "double stop losses" when he says "I try to never have more than 3 – 4 positions that are at risk of double stop losses" ? Answering myself: I think he means when both spreads of the IronCondor experience (or are in danger of) a loss (ie. both of the protective stop loss orders get hit or are in dangerof getting hit).