QQQ Long vs Short Iron Condor Proxy Backtest
Decision: For today's condition, prefer SHORT iron condor only if using this proxy evidence. The today-like filter is QQQ down at least 2.5% with intraday range at least 3%, then hold a same-percentage iron-condor structure for 5 trading days. This is a simplified theoretical proxy, not historical option quote replay.
| condition | side | trades | total pnl | avg pnl | win rate | avg return/risk | trade sharpe | max DD |
|---|---|---|---|---|---|---|---|---|
| all_abs_move_gt_2p5 | long | 92 | $-1,446 | $-16 | 40.2% | -5.7% | -0.35 | $-4,627 |
| all_abs_move_gt_2p5 | short | 92 | $1,446 | $16 | 59.8% | 5.6% | 0.53 | $-3,386 |
| today_like_down_and_range | long | 30 | $-3,593 | $-120 | 33.3% | -32.0% | -2.24 | $-3,674 |
| today_like_down_and_range | short | 30 | $3,593 | $120 | 66.7% | 21.3% | 1.90 | $-803 |
| large_range_only | long | 49 | $-112 | $-2 | 44.9% | 6.8% | 0.37 | $-5,082 |
| large_range_only | short | 49 | $112 | $2 | 55.1% | 9.0% | 0.78 | $-3,292 |
Today-like result: Long RIC: 30 trades, total PnL -$3,593, win rate 33.3%, Sharpe -2.24. Short IC: 30 trades, total PnL +$3,593, win rate 66.7%, Sharpe +1.90. The tradeoff is tail risk: short IC loses if QQQ keeps breaking far beyond the sold wings.
[
{
"trades": 92,
"total_pnl": -1446.2321108843803,
"avg_pnl": -15.719914248743269,
"win_rate": 0.4021739130434782,
"avg_return": -0.0569503388012656,
"trade_sharpe": -0.3525230398635696,
"worst": -788.3379062024985,
"best": 1105.2048039129177,
"max_dd": -4627.154790627131,
"condition": "all_abs_move_gt_2p5",
"side": "long"
},
{
"trades": 92,
"total_pnl": 1446.2321108843803,
"avg_pnl": 15.719914248743269,
"win_rate": 0.5978260869565217,
"avg_return": 0.0559836831563379,
"trade_sharpe": 0.5313516143306914,
"worst": -1105.2048039129177,
"best": 788.3379062024985,
"max_dd": -3386.068467998727,
"condition": "all_abs_move_gt_2p5",
"side": "short"
},
{
"trades": 30,
"total_pnl": -3592.596267091727,
"avg_pnl": -119.75320890305755,
"win_rate": 0.3333333333333333,
"avg_return": -0.3203098185568157,
"trade_sharpe": -2.242009855330392,
"worst": -788.3379062024985,
"best": 802.9015703597786,
"max_dd": -3673.5373838976097,
"condition": "today_like_down_and_range",
"side": "long"
},
{
"trades": 30,
"total_pnl": 3592.596267091727,
"avg_pnl": 119.75320890305755,
"win_rate": 0.6666666666666666,
"avg_return": 0.2129670976692231,
"trade_sharpe": 1.9019608985062455,
"worst": -802.9015703597786,
"best": 788.3379062024985,
"max_dd": -802.9015703597786,
"condition": "today_like_down_and_range",
"side": "short"
},
{
"trades": 49,
"total_pnl": -112.07816275438744,
"avg_pnl": -2.2873094439670907,
"win_rate": 0.4489795918367347,
"avg_return": 0.0683792734136994,
"trade_sharpe": 0.3677243040069403,
"worst": -788.3379062024985,
"best": 1306.4602771030202,
"max_dd": -5082.134679333993,
"condition": "large_range_only",
"side": "long"
},
{
"trades": 49,
"total_pnl": 112.07816275438744,
"avg_pnl": 2.2873094439670907,
"win_rate": 0.5510204081632653,
"avg_return": 0.0902786968413989,
"trade_sharpe": 0.7820813979614183,
"worst": -1306.4602771030202,
"best": 788.3379062024985,
"max_dd": -3292.337295143728,
"condition": "large_range_only",
"side": "short"
}
]