Multiple Entry Iron Condor
Six tranches per session, two vertical credit spreads per tranche, stop on short-leg mid at 2× the entry credit. Strikes selected by the "target premium maximum" rule with a credit band of $0.50–$1.80 per side. Settled on the same trading day; no overnight risk. The numbers below are from a single backtest run with these locked parameters across 11,605 trades.
| Year | P/L | Win rate | Trades |
|---|---|---|---|
| 2022 (Jun–Dec) | +$35,217 | 75.8% | 1,714 |
| 2023 | +$34,120 | 74.7% | 2,942 |
| 2024 | +$56,569 | 75.6% | 2,999 |
| 2025 | +$47,140 | 73.9% | 2,967 |
| 2026 (Jan–Apr) | −$1,723 | 72.1% | 983 |
| Total | +$171,323 | 74.7% | 11,605 |
The best and worst stints fell back-to-back in the same fortnight of late 2022, with VIX parked in the mid-to-high 20s. That elevated implied vol made for rich premium, which powered the nine-day win streak while daily ranges stayed contained. The five-day losing streak that immediately followed clustered around the November FOMC, the midterms, and the CPI print — days when the intraday range blew through the short strikes and tripped the 2× stops even when the close finished near flat. High VIX cuts both ways: it pays well on quiet tape and punishes when a catalyst expands the range. Even so, the worst week (−$4,923) stayed smaller than the best run (+$7,331), with each down day capped by the per-side stop.
| Date | P/L | VIX | SPX Δ |
|---|---|---|---|
| Oct 24 Mon | +$233 | 29.85 | +0.79% |
| Oct 25 Tue | +$439 | 28.46 | +1.62% |
| Oct 26 Wed | +$758 | 27.28 | +0.10% |
| Oct 27 Thu | +$1,215 | 27.39 | -0.81% |
| Oct 28 Fri | +$822 | 25.75 | +2.41% |
| Oct 31 Mon | +$696 | 25.88 | -0.06% |
| Nov 1 Tue | +$1,753 | 25.81 | -1.44% |
| Nov 2 Wed | +$215 | 25.86 | -2.35% |
| Nov 3 Thu | +$1,201 | 25.30 | -0.12% |
| Date | P/L | VIX | SPX Δ |
|---|---|---|---|
| Nov 4 Fri | −$1,420 | 24.55 | -0.17% |
| Nov 7 Mon | −$113 | 24.35 | +0.59% |
| Nov 8 Tue | −$1,609 | 25.54 | +0.23% |
| Nov 9 Wed | −$249 | 26.09 | -1.53% |
| Nov 10 Thu | −$1,532 | 23.53 | +1.71% |
- Stop multiple
- 2×
- Spread width
- $50
- Credit target (max)
- $1.80
- Credit minimum
- $0.50
- Slippage per contract
- $0.13
- Vol filter
- none
- Tranche entry times (ET)
- 12:30 · 13:00 · 13:30 · 14:00 · 14:30 · 15:00
- Win rate is remarkably stable: 73.9% – 75.8% across all five calendar years. Strike selection works in every regime the data covers.
- Max drawdown is shallow: 6.8% of peak at the worst point in four years. Most retail strategies see 20-40% in this window.
- 2026 YTD shows the smallest loss in the dataset ($1,723 negative through April) and the current drawdown from the December peak is only $3,373. Worth watching but not a red flag.
- Best single trade: $177. Worst single trade: $3,056 loss. The asymmetry is expected — credit spreads make small wins frequently and rare large losses when stops fail to fire cleanly.
- Realistic live expectation: $2,500–3,500 per month per contract. The 4-year average works out to $3,569/month gross; real fills and human friction take that down.
- Data: SPX 0 DTE option chains from Theta Data, snapshot at each tranche entry time, with 1-minute resolution for stop checks.
- Parameter sweep was run earlier to choose these specific values (stop 2.0×, width $50, credit band $0.50-$1.80, six afternoon tranches). The numbers on this page are a single full-period backtest with those parameters locked.
- Stop fills modeled at ask + slippage ($0.13/contract), not mid. End-of-day positions settled at intrinsic value.
- For trade-by-trade detail, run
meic_backtest.pyon the VPS — the script writes a full CSV with entry, exit, P/L per leg.