Last ruin game (with CBOE iron condor index)

This is an abbreviated post. All assumptions are as in previous posts.  This time I am putting a normal return series (8% nominal with 10% sd) against the CBOE iron condor index (~7% nominal, 7.2% sd) which represents the concept of putting on a bull put spread and a bear call spread to get relatively high probability returns in low vol environments. I have no opinion on this strategy I am just using it as an alternative return profile to see what happens in a ruin probability experiment. 




Here are the density functions with black dotted being normal and red is the CBOE condor. This is the index so I'm not conversant on things like tradability, implementation, taxation, etc.

vol is slightly constrained it appears. In theory that is good though mean return is a little lower.  Plug it into a lifetime ruin probability approximator and we get this:

strategy	r	sd	ruin
condor	0.07131	0.0724	0.141
norm	0.08028	0.0996	0.127

This is similar to what happened when I ran my own alt program through this thing.  The "reader's digest" version of the conclusion is: longevity expectations low? strategy ok. longevity expectations high? strategy bad. In the middle? Who knows. It'd be interesting to test this, like I did with the cta index, as an incremental add to a portfolio rather than here, a head to head comparison with a fake normal distribution.