I spent a portion of the weekend getting caught up on older issues of Futures & Options Trader magazine. If you're not a subscriber, you should be (it's free). It can be downloaded from http://www.futuresandoptionstrader.com/. Current issues are free, back issues are not. I'm going to be referring to the May 2009 issue, so if you don't have it, I'll summarize the relevant bits.
Each month, the magazine has a feature entitled Options Trading System Lab. The major players for the software OptionVue are the main contributors. The feature takes a relatively well known strategy and runs a back test on historical data using the OptionVue software. The results are usually disappointing. I don't mean that in a disparaging way. If you've done backtesting for any length of time, you'll know that most of the ideas put forth are real stinkers. In fact, I'd say over the course of many years, even before my days of working on RightEdge, I'd tested hundreds and now thousands of trading systems. To this day, I use about 3 trading systems out of thousands tested. There are some systems that have shown signs of promise in the lab and some that just plain stink, but I took an eye to May's Iron Condor results.
Strategy Summary
If you're not familiar with iron condor strategy, it's really just a fancy name for two vertical spreads put on in tandem. It's basically an out of the money bear call spread and out of the money bull put spread. Both are credit spreads. The P/L structure for an iron condor is below.

spy-iron-condor.png (47.83 kb)
Most iron condor traders are looking to put the short strikes around one standard deviation. In the P/L structure above, you can see that one standard deviation is marked by the vertical red dashes. As a result, I put the short puts at 99.00 and the short calls at 115.00. The long options can be placed anywhere you feel comfortable.
Risk
Now here's the catch on iron condors, my maximum reward is 0.44 less commissions. My maximum risk is 4.00 - the credit. This puts the risk/reward ratio at around 1 to 10. That's not 10 to 1, that's 1 to 10. This means that 1 losing month can wipe out 10 months of winners. Couple this with the fact that one standard deviation means that it's probable the price has a 68% chance of staying within your shorts on either side, it sounds like a mathematical loser all the way around. You need 90% winners in a case where statistically the price will only stay within your boundaries 70% of the time.
Backtesting the Strategy
Normally, this idea would be discarded especially with the pitiful risk/reward ratio. Admittedly, it's not one of my favorite strategies, but let's see the results anyhow.
The test period started in January 2001 and ran through April 2009. The starting capital is $10,000 and each month an iron condor was opened one standard deviation out. They used 5 call and 5 put spreads. The system is always in the market and cycles the position (i.e. closes the current month and opens a new one for the next month) on the second Friday of each month. The system had a 75% win rate with an average win of $763 and an average loss of $1,314. What's noteworthy is the annualized return of 28.7%. This would give you a return of 236% for the time period tested. The S&P 500 had a negative return over the same time period. Wow.
Discrepancies of Note
OptionVue constructs positions based on historical data. I find the further out of the money the spread, the harder it is to get filled. At best, the bid/ask spread on these positions is pretty lousy. This probably wasn't accounted for. Even dividing the bid/ask spread in half usually won't get you filled. Second, the authors list the risk/reward ratio of 1 to 4. I think that's generous. I've seen in real life the ratio as poor as 1 to 12.
My Take
Given the discrepancies noted, if you were to consider putting on ICs, I strongly recommend using 1 contract positions and also putting them on the SPY ETF and not the big S&P 500 futures contracts (which are leveraged instruments). Of course, never put on anything until you know what you're doing. Even in light of this impressive test, I'm still not very interested in iron condors because of the horrible risk reward. I do, as most readers know, put on bull put verticals on the indexes when my trading systems flag them as a buy. This has turned out to be successful so far in my first phases of live testing.