Where are you finding 20+ years of reliable data? I haven't found any sources that are reliable going back much further than 5 years. Fortunately I did all my back testing for my current strategies in 2010/2011 so they go back to around 2006. But I'd love the ability to take them another 10 years back if possible... Please share
I work in the industry, have access to thompson reuters, bloomberg and others. I usually grab those as my top 2 and reference them across each other.. even option greeks and implied volatility.
From all the TT backtesting I've seen, there doesn't appear to be enough occurrences to draw any conclusions that are statistically significant. The only "edge" I've heard Tom articulate is that retail traders have the ability to out maneuver big institutions due to legislation( hold times), new technology, and relative position sizing( small time retail traders can get filled in penny wide markets), thus it's all about staying small and bumping up the number of occurrences. However this is potentially an "edge" for all retail traders using any methodology- however it doesn't become a real edge unless you have a positive expectancy. The premise of Volatility having a mean reverting tendency is not an edge either, since this is a common perception... FYI i'm not hating, I love the show, and have watched it most days for almost 2 years now. I love Toms rants and the Bats wisdom.
With the short spreads TT talks about most, 60 months is plenty of time to get an idea of what's working and what isn't. They aren't scalping pennies in intra-day quant trading, these are positions left on for 20+ days. A 5 year back test for Iron Condors can tell quite a bit actually, especially if you run the same system through multiple different symbols like combining the tests for SPX, RUT, and NDX together. Obviously 10+ year backtests are better, that goes without saying, but 5 years on multiple indexes is very useful. Obviously they would want to be more cautious with position sizing when the markets start to go south because what's coming later in the year will be unchartered waters, but the same principles should still hold true.
Enjoyed reading all your posts. My back test results generally supported your finding when sufficient sample size and time span were considered. However that said, I love to find a "blind" method that can produce a positive outcome day in and day out so I don't have to work as hard to earn a positive return.
The question is not being able to find it, systems are out there, the question is do you have enough money, patience, and persistence to do it.
I've used data from genesis financial, which is clean and reasonably bug free. http://www.tradenavigator.com/ I've heard negatives about working with the company, so caveat emptor, but their trading platform is stock oriented and I assume you want options historical prices beyond what you find at thinkorswim. You can get data providers for third party platforms like ninja using: kinetick.com barchart.com esignal CQG IB or there's TradeStation and MetaStock, etc. I believe tickdata is recognized as the gold standard in clean historical data with various handling methods consistent price behavior across complex products like futures contracts. You can end up paying serious coin for historical data, so you want to be pretty sure you're really getting something you want to mine. I've not tried it, but there are quant sites like quantopian that offer an environment to build and backtest for systems development. It's hard to say what happens to your intellectual property once you put your code in a corporate data center. Of course it's a bit foolish to start thinking you've got the holy grail. : )
Unfortunately, TT backtests through an almost perfect market that has gone straight up in a tight range. The iron condor as a strategy is curve fitted to this recent market cycle. Maybe we live in a more controlled market with QEmacro and HFTmicro keeping a lid on volatility. Maybe not.
"The iron condor as a strategy is curve fitted to this recent market cycle." My Iron Condors performed better from 2005 - 2009 than they did from 2010 - 2014. My 2015 returns are accelerating again because of the type of market environment. Obviously there are many different ways to trade them, but in fairness to Tasty Trade the way that they trade them, the past 5 years hasn't been very kind to that type of strategy.