Strategy research · full-period backtest
Multiple Entry Iron Condor
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 9,854 trades, Jun 2022 – May 2026.
Headline · Jun 2022 – May 2026
Total P/L
+$269,488
Win rate
77.1%
Max drawdown
−$6,343
Peak P/L
+$271,362
Cumulative P/L · 1 contract
Year-by-year
| Year | P/L | Win rate | Trades |
|---|---|---|---|
| 2022 (Jun–Dec) | +$66,927 | 79.4% | 1,464 |
| 2023 | +$58,758 | 77.2% | 2,439 |
| 2024 | +$51,980 | 76.8% | 2,495 |
| 2025 | +$74,373 | 76.7% | 2,467 |
| 2026 (Jan–May) | +$17,451 | 75.5% | 989 |
| Total | +$269,488 | 77.1% | 9,854 |
Streaks & extremes
Longest win streak
20 days
Longest losing streak
3 days
Longest drawdown
6 days
Longest run-up
1443 days
The best and worst stints both landed in 2024 — an eleven-day winning run in April (+$13,614) and a six-day losing cluster in November (−$5,873). 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. Even so, the worst cluster stayed smaller than the best run, with each down day capped by the strategy's defined risk — and the drawdown stays shallow (−$6,343 max).
| Date | P/L |
|---|---|
| Oct 16 Wed | +$669 |
| Oct 17 Thu | +$208 |
| Oct 18 Fri | +$1,197 |
| Oct 21 Mon | +$1,253 |
| Oct 22 Tue | +$323 |
| Oct 23 Wed | +$294 |
| Oct 24 Thu | +$1,012 |
| Oct 25 Fri | +$635 |
| Oct 28 Mon | +$918 |
| Oct 29 Tue | +$112 |
| Oct 30 Wed | +$471 |
| Oct 31 Thu | +$660 |
| Nov 1 Fri | +$699 |
| Nov 4 Mon | +$373 |
| Nov 5 Tue | +$1,046 |
| Nov 6 Wed | +$614 |
| Nov 7 Thu | +$1,131 |
| Nov 8 Fri | +$197 |
| Nov 11 Mon | +$1,221 |
| Nov 12 Tue | +$583 |
| Date | P/L |
|---|---|
| May 15 Fri | −$293 |
| May 18 Mon | −$3,928 |
| May 19 Tue | −$1,652 |
Verdict
DEPLOYProfitable across every full year tested
- Win rate is remarkably stable: 75.5% – 79.4% across all five calendar years. The edge holds in every market regime the data covers.
- Max drawdown is shallow: 2.5% of peak at the worst point across the full period. Most retail strategies see 20-40% in this window.
- 2026 (through May) is up $21,483 — positive even in the toughest stretch. The curve set its high on May 14 2026 and gave back ~$2,900 into late May, so it ends in a shallow current drawdown. The deepest dip of the whole period was just $7,699 — a five-day air pocket in October 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.
Methodology · short version
- 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 988 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.