Iron Condor Backtester

Sell PUT spread + CALL spread simultaneously · Profit zone between two short strikes · Walk-forward · VIX regimes · Monte Carlo 10,000 runs

⬇ PUT MAX LOSS
below put long

PUT partial

✓ PROFIT ZONE
between short strikes

CALL partial

⬆ CALL MAX LOSS
above call long

Max profit = Put Credit + Call Credit · Max loss = max(Put spread − credit, Call spread − credit) · One side can be breached at a time

Parameters

Presets:

Ticker Symbol

Entry Day

Exit (Friday)

Exit Mode

Stop-Loss (× credit)

0 = off. Standard practice: 2. Exits at N× collected credit when the short strike is TOUCHED intraperiod (daily low/high) — models real management instead of praying to expiry.

Your Iron Condor Trade

Enter your 4 strikes + credits from your broker. The backtest will scale this structure across all historical prices.

Stock Price ($)

Current price

Sell Put Strike ($)

Leg 2 — sell put (OTM, collect credit)

Buy Put Strike ($)

Leg 1 — buy put (protection, lower)

Sell Call Strike ($)

Leg 3 — sell call (OTM, collect credit)

Buy Call Strike ($)

Leg 4 — buy call (protection, higher)

Put Credit ($)

Legs 1+2 net credit

Call Credit ($)

Legs 3+4 net credit

Commission ($)

Round-trip (4 legs)

Contract Sizing

Initial Capital ($)

Capital Buffer (×)

Qty = Capital ÷ (Buffer × MaxLoss)

Position Limit (qty)

Walk-fwd split year

Monte Carlo periods

52=1yr · 104=2yr

From date

To date

📊 Premium Pricing Mode

Fixed Premium

Constant credits every period. Simple, standard.

🎯 Auto Vol BEST

Uses asset HV. Applied to both put & call sides.

VIX-Adjusted (S&P only)

Uses VIX. Less accurate for sector ETFs.

First run for a new ticker: ~2 sec. Subsequent: instant.

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— Iron Condor · — — — → —

Summary Statistics Sharpe/Sortino vs 4% risk-free · Calmar = CAGR/MaxDD · EV = expected value per trade

Entry Check — Should You Open This Week? Current VIX regime vs its own history · premium rich/thin vs realized vol

Threshold Sweep — Optimal Wing Width Finder Tests 2%–20% OTM on both sides · Maintains put/call ratio · BS-calibrated credits

Equity Curve 🔵 In-sample · 🟡 Out-of-sample · 🟠 Rolling 26-wk win rate · VIX (right axis)

Drawdown Over Time Peak-to-trough decline each period

VIX Regime Analysis Win rate segmented by VIX at entry — key for timing

Walk-Forward Validation In-sample = training · Out-of-sample = unseen · Small Δ = robust, large Δ = overfitted

Monte Carlo Simulation 10,000 Markov-chain runs — autocorrelation preserved · percentile bands

Markov Chain Analysis First-order 2-state model — transition probabilities with 95% Wilson CI

Streak Probabilities After N consecutive green/red periods · Tabs: All / Low VIX / Normal / High

Annual Returns Year-by-year return %, win rate, P&L

Monthly Heatmap Win/Loss per calendar month · Avg row = seasonality

Period-by-Period Results Zone: profit / put-partial / put-max-loss / call-partial / call-max-loss