Bank Nifty Iron Condoor Option Strategy Backtest
Short Iron Condor Parameters
Sell OTM spreads on both sides for net creditCALL Side (Bearish Spread)
ATM + offset
From short call
PUT Side (Bullish Spread)
ATM - offset
From short put
Understanding Iron Condor Metrics
Why Focus on Range, Break-Evens, and Risk/Reward?
Misleading Metrics (Wrong for Iron Condor):
• Looking only at max profit ignores wide risk• Ignoring break-even zones hides exposure
• Price multiples don’t reflect credit received
• Focusing only on one side of the condor
Correct Metrics (Right for Iron Condor):
• Define both upper and lower break-even points• Show max profit zone between short strikes
• Highlight risk vs. reward clearly
• Account for spread width minus credit
📋 Calculation Example:
Short Call Strike: 18500
Long Call Strike: 18600
Short Put Strike: 17500
Long Put Strike: 17400
Credit Received: 200
Upper BE = 18500 + 200 = 18700
Lower BE = 17500 - 200 = 17300
Max Profit Zone = Between 17500 and 18500
Risk = Spread Width (100) - Credit (200) → Net Risk 800
🎯 How to Use These Metrics:
- Break-Even Awareness: Know both upper and lower limits
- Profit Zone: Identify the range between short strikes
- Risk Management: Compare credit vs. spread width
- Trade Evaluation: Use return % to judge efficiency
Iron Condor Structure
Sell Call
Buy Call
Sell Put
Buy Put
ATM
Long Put
Most OTM
Short Put
Closer to ATM
Short Call
Closer to ATM
Long Call
Most OTM
Profit Zone
← Further OTM
Closer to ATM →
Strikes: LP < SP < ATM < SC < LC
⚠️ Long Strangle Strategy
How it works:
- Buy an OTM CALL option above ATM
- Buy an OTM PUT option below ATM
- Pay premium for both legs
- Profit if stock moves out of the strikes
- Risk: Limited to the premium paid
Total PnL
-
Expectancy
-
Max Profit
-
Max Loss
-
Win %
-
Loss %
-
Avg Win
-
Avg Loss
-
Max Win Streak
-
Max Loss Streak
-
Max Drawdown
-
Recovery Days
-
Yearly Monthly PnL
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total PnL | Total Trades | MDD |
|---|
Yearly Weekday PnL
| Year | Mon | Tue | Wed | Thu | Fri | Sat | PnL | Trades |
|---|
Trades
| Symbol | Spot Entry | Spot Exit | Spot Δ | Entry Date | Entry Day | Exit Date | Exit Day | Expiry | Strategy |
Strikes
SC/LC/SP/LP
|
SC Entry
(Sell)
|
LC Entry
(Buy)
|
SP Entry
(Sell)
|
LP Entry
(Buy)
|
Net Credit
Entry
|
SC Exit
(Buy)
|
LC Exit
(Sell)
|
SP Exit
(Buy)
|
LP Exit
(Sell)
|
Net Debit
Exit
|
Strategy High
Max Value
|
Strategy Low
Min Value
|
DTE |
PnL
Credit − Debit
|
Max Profit
= Credit
|
Max Loss
Width − Credit
|
Profit Zone
Lower → Upper
|
Spread Width
Call / Put
|
Risk
Capital
|
Equity
Cumulative
|
DD
Drawdown
|
|---|
"The premium you pay is the price of potential. Make sure the payoff is worth the probability."
Disclaimer: Option Backtesting tools are provided strictly for informational and educational purposes. They do not constitute investment advice, nor do we offer tips or recommendations. Investments in the stock market involve financial risk. Please consult a qualified financial advisor before making any investment decisions.
