Iron Condor Results Summary - NDX & SPX

We are now finished reviewing the baseline NDX "no touch" Iron Condor (IC) backtest results.  At this point we have enough data to be able to compare the standard/baseline "no touch" IC for the RUT, SPX, and NDX to other variations of this strategy.

In the future we will try to look at the variations in the list below, and compare their results to our baseline results.

• "no touch" + an extra long put
• "no touch" + an extra long call
• "no touch" + an extra long put at various locations between at-the-money (ATM) and the short put
• "no touch" + an extra long call at various locations between ATM and the short call
• "no touch" but with uneven wings so that we start delta neutral
• "no touch" but with uneven wings to position the trade with the market trend
• any of the above variations, but with adjustments based on market indicators
• any of the above variations, but with adjustments based on delta
• any of the above variations, but with adjustments based on P&L
• etc...

When it comes to the adjustment triggers mentioned above (market indicators, delta, P&L, etc), these could be based on our overall IC position, a specific option strike in our position, an option strike of reference (for example the ATM strike at trade initiation).  The adjustments themselves could involve buying long options or debit spreads, or buying back some of our short options or credit spreads, or closing the entire trade.  There are a lot of possibilities with adjustments!

The summary statistics associated with the "no touch" SPX and NDX IC backtests are shown in the embedded Google Docs spreadsheets below.  These spreadsheets will also be available under the "Spreadsheets" section of the navigation bar at the top of the blog, where you can also download them if you choose.