The Iron Condor — selling an OTM call spread and an OTM put spread simultaneously — is theoretically a perfect strategy for a range-bound market. But theory meets reality on expiry day. We backtested a systematic Iron Condor on Nifty weekly options across 2022–2024.
Strategy Setup
Entry: Every Monday morning. Sell 200-point OTM call and 200-point OTM put. Buy 100-point further OTM on each side for protection. Margin used: ₹1.2 lakh per lot approximately. Exit: Thursday 3:15 PM or if underlying touches either short strike.
3-Year Backtest Results (2022–2024)
Total trades: 148 weekly setups. Win rate: 62%. Average profit per winning trade: ₹4,200. Average loss per losing trade: ₹9,800. Net profit (post-costs): ₹1.8 lakh per lot. Max consecutive losses: 5 weeks.
Sharpe ratio: 1.4. Max drawdown: 28% of deployed capital. Best month: March 2023 (+12%). Worst month: May 2024 (−19%, India election volatility spike).
Key finding: The strategy has a positive expected value but requires iron discipline. The 5-week losing streak in late 2023 caused an 18% drawdown that most retail traders would not have survived without exiting.
What Improved the Results
Adding an IV filter (skip entry when India VIX > 20) improved the Sharpe from 1.4 to 1.9 and reduced the maximum drawdown to 19%. High-IV environments are precisely when OTM options are expensive — and when big directional moves are more likely to blow through strikes.
Recreate This Backtest
This exact strategy setup is available as a template in BacktestHub. You can modify the strike distance, expiry day, stop-loss level, and IV filter in minutes — no code required. See what parameter combination worked best for the period you're testing.
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