The Test Bench › option_strategy
Does Iron Fly actually work?
MYTHA famous idea that does not survive an honest test.
The claim
The iron fly collects rich premium with defined risk — TastyTrade / premium sellers
What we did
Tested against Expectancy net of REAL bid/ask — patient mid vs. crossing the spread, 2014–2025, real EOD bid/ask, manage 50%/21DTE.
The result
Result: -64.0 expectancy $/trade (crossing the spread)
mid -6 → cross -64/trade, 50% win, worst -1091
The numbers
| Worst drawdown | -17435.8% |
|---|
Verdict
Sold as 'safe, defined-risk income' — but it loses money even at patient mid-price fills (-6/trade), and worse (-64) once you cross the spread. 4 legs means paying the bid/ask 4 times in and 4 out. The 50% win rate is a mirage. (Independently confirms our iron-condor audit.)
What the test did and did not do
- net of real costs
- point-in-time data
- checked for look-ahead
- tested out of sample
Almost nobody publishing a backtest says which of these they did. We list the ones we failed as well as the ones we passed.
Tested 2026-06-23. The same treatment, applied to every other system, is on the test bench.
Written with AI assistance from our own test database. The numbers are computed, not composed.
General market commentary for education, not personalised investment advice. Backtested results are hypothetical. Trading carries a real risk of loss.