Full-period backtest
A defined-risk, same-day SPX options strategy — multiple intraday entries, every position closed by the cash settlement; no overnight risk. The numbers below are from a single full-period backtest across 9,426 trades, Jun 2022 – May 2026.
| Year | P/L | Win rate | Trades |
|---|---|---|---|
| 2022 | +$76,642 | 78.2% | 1,443 |
| 2023 | +$34,161 | 75.1% | 2,270 |
| 2024 | +$42,029 | 75.6% | 2,361 |
| 2025 | +$40,080 | 73.9% | 2,386 |
| 2026 | +$17,289 | 73.8% | 966 |
| Total | +$210,200 | 75.3% | 9,426 |
Read the Sharpe with care. It assumes a roughly normal distribution of daily returns. This one is not: skew -1.02 and excess kurtosis 2.7 — many modest wins, rare large losses, which is the shape a short-premium condor produces by design. Standard deviation barely registers a fat left tail, so Sharpe flatters exactly the risk that matters here. The same data says the ten worst sessions account for 25% of everything earned in 987 days. Sortino reads higher than Sharpe for a mechanical reason, not a reassuring one: with 59% winning days only the minority enter the downside deviation, shrinking the denominator. Profit factor and Calmar above make no distributional assumption.
The longest winning run was 11 days (+$14,472, Jun 11 2025 – Jun 26 2025); the longest losing run was 7 days (−$6,676, Aug 14 2023 – Aug 22 2023). Most sessions just grind out steady premium; the rare losing clusters come when a directional catalyst expands the intraday range enough to pressure several positions at once. Each down day is capped by the strategy's defined risk, and the deepest drawdown was −$15,752 over 22 days.
| Date | P/L |
|---|---|
| Jun 11 Wed | +$977 |
| Jun 12 Thu | +$1,832 |
| Jun 13 Fri | +$1,354 |
| Jun 16 Mon | +$2,075 |
| Jun 17 Tue | +$2,133 |
| Jun 18 Wed | +$2,547 |
| Jun 20 Fri | +$1,158 |
| Jun 23 Mon | +$254 |
| Jun 24 Tue | +$1,170 |
| Jun 25 Wed | +$177 |
| Jun 26 Thu | +$795 |
| Date | P/L |
|---|---|
| Aug 14 Mon | −$870 |
| Aug 15 Tue | −$1,139 |
| Aug 16 Wed | −$1,120 |
| Aug 17 Thu | −$568 |
| Aug 18 Fri | −$1,428 |
| Aug 21 Mon | −$1,272 |
| Aug 22 Tue | −$279 |
- Win rate is stable: 73.8% – 78.2% across all five calendar years, on a 75.3% full-period average. The edge holds in every market regime the data covers — though the data covers no 2008 and no 2020.
- Max drawdown was −$15,752 — 7.3% of peak P/L, but roughly 12.3% of the $128,514 of capital the drawdown work supports. Percent-of-peak is the flattering framing and is not comparable to the percent-of-capital figures quoted elsewhere; size against the second one.
- 2026 (through May) is up +$17,289 — positive even in the toughest stretch. The curve set its high on May 14 2026 and gave back −$4,750 into late May, so it ends in a shallow current drawdown. The deepest dip of the whole period was −$15,752 over 22 sessions (Oct 9 2025 – Nov 7 2025).
- The return profile is many small wins and rare larger losses — the expected shape for a defined-risk premium strategy.
- These are backtested results. Real fills and human friction take live performance below the modeled figures; treat live results as the real test.
- Data: SPX 0 DTE option chains from Theta Data, snapshot at each entry, with 1-minute resolution.
- The numbers on this page are a single full-period backtest over Jun 2022 – May 2026, all 987 sessions, no exclusions.
- Results are net of modeled fees and slippage; end-of-day positions settled at intrinsic value. Backtested performance is not a guarantee of live results.