SPX 0 DTE Iron Condor
SPX 0 DTE Iron Condor • Jan 1, 2024 - Jan 31, 2026
Backtest Performance
Backtest Metrics
Backtest Summary
This backtest shows a SPX 0 DTE Iron Condor strategy on SPX from Jan 1, 2024 - Jan 31, 2026, placing 467 trades that stayed open for an average of 1 days. The results were impressive - winning 77.94% of the time (364 wins vs 103 losses), which shows remarkable consistency. This translated to $1,730,936.70 in total profits. On average, each position made $3,706.50. When annualized, that's a 489.8% return (CAGR), which suggests strong growth potential if maintained over time. Impressively, the maximum drawdown was only 9.6%, showing excellent risk control. With a Sharpe ratio of 14.31, the returns were excellent relative to the risk taken. Notably, the strategy captured 126.7% of the premium sold, which is excellent. Bottom line: this strategy looks promising for anyone seeking consistent, well-managed returns.
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Trade Log
| Date | Entry | Exit | Exit Reason | P&L | Return | Action |
|---|---|---|---|---|---|---|
| 2024-01-02 | $2.09 | $5.00 | Expiration | $2,858.70 | 139.31% | |
| 2024-01-03 | $1.67 | $4.73 | Expiration | $3,010.70 | 183.69% | |
| 2024-01-04 | $1.89 | $6.12 | Expiration | $4,182.50 | 224.58% | |
| 2024-01-05 | $1.54 | $5.00 | Expiration | $3,404.50 | 223.94% | |
| 2024-01-08 | $2.26 | $4.63 | Expiration | $2,320.50 | 105.09% | |
| 2024-01-09 | $1.21 | $5.00 | Expiration | $3,738.60 | 313.43% | |
| 2024-01-10 | $3.06 | $0.00 | Expiration | $-3,111.60 | -100.00% | |
| 2024-01-11 | $1.59 | $1.30 | Expiration | $-342.90 | -18.29% | |
| 2024-01-12 | $2.63 | $0.05 | Expiration | $-2,632.40 | -98.10% | |
| 2024-01-16 | $2.19 | $5.00 | Expiration | $2,761.70 | 128.70% | |
| 2024-01-17 | $2.80 | $10.00 | Expiration | $7,145.30 | 256.80% | |
| 2024-01-18 | $2.42 | $5.00 | Expiration | $2,526.40 | 106.48% | |
| 2024-01-19 | $2.91 | $5.00 | Expiration | $2,033.70 | 71.57% | |
| 2024-01-24 | $2.12 | $5.00 | Expiration | $2,831.20 | 136.21% | |
| 2024-01-25 | $2.48 | $0.00 | Expiration | $-2,527.30 | -100.00% | |
| 2024-01-26 | $2.32 | $5.00 | Expiration | $2,629.70 | 115.68% | |
| 2024-01-29 | $0.81 | $1.01 | Expiration | $143.80 | 24.05% | |
| 2024-01-30 | $1.76 | $10.00 | Expiration | $8,185.50 | 467.38% | |
| 2024-01-31 | $3.93 | $10.00 | Expiration | $6,020.40 | 154.61% | |
| 2024-02-01 | $1.98 | $5.00 | Expiration | $2,968.70 | 152.61% | |
| 2024-02-02 | $1.64 | $5.00 | Expiration | $3,310.70 | 205.38% | |
| 2024-02-06 | $1.35 | $5.00 | Expiration | $3,596.60 | 269.99% | |
| 2024-02-07 | $2.25 | $0.00 | Expiration | $-2,301.50 | -100.00% | |
| 2024-02-08 | $1.54 | $5.00 | Expiration | $3,407.60 | 224.59% | |
| 2024-02-09 | $1.86 | $0.38 | Expiration | $-1,535.00 | -79.60% | |
| 2024-02-12 | $0.60 | $5.00 | Expiration | $4,343.50 | 727.13% | |
| 2024-02-13 | $1.95 | $5.00 | Expiration | $2,994.90 | 156.00% | |
| 2024-02-14 | $1.51 | $5.00 | Expiration | $3,433.70 | 230.19% | |
| 2024-02-16 | $3.98 | $0.05 | Expiration | $-3,978.60 | -98.74% | |
| 2024-02-20 | $1.85 | $0.00 | Expiration | $-1,897.40 | -100.00% | |
| 2024-02-21 | $2.04 | $5.00 | Expiration | $2,909.10 | 145.23% | |
| 2024-02-22 | $2.67 | $1.60 | Expiration | $-1,125.50 | -40.15% | |
| 2024-02-23 | $2.06 | $5.00 | Expiration | $2,886.50 | 142.54% | |
| 2024-02-28 | $2.07 | $5.00 | Expiration | $2,874.20 | 141.10% | |
| 2024-02-29 | $1.60 | $5.00 | Expiration | $3,350.20 | 212.93% | |
| 2024-03-01 | $2.07 | $0.75 | Expiration | $-1,368.80 | -63.71% | |
| 2024-03-04 | $1.45 | $5.00 | Expiration | $3,501.80 | 245.73% | |
| 2024-03-05 | $1.72 | $5.00 | Expiration | $3,231.00 | 191.21% | |
| 2024-03-06 | $3.69 | $10.00 | Expiration | $6,261.50 | 171.26% | |
| 2024-03-07 | $1.41 | $5.00 | Expiration | $3,539.10 | 254.89% | |
| 2024-03-08 | $2.58 | $3.95 | Expiration | $1,315.60 | 52.96% | |
| 2024-03-11 | $1.33 | $5.00 | Expiration | $3,623.00 | 277.36% | |
| 2024-03-12 | $1.51 | $5.00 | Expiration | $3,433.20 | 230.08% | |
| 2024-03-13 | $2.09 | $10.00 | Expiration | $7,853.70 | 377.49% | |
| 2024-03-14 | $3.06 | $10.00 | Expiration | $6,883.10 | 226.27% | |
| 2024-03-15 | $3.28 | $10.00 | Expiration | $6,664.10 | 204.52% | |
| 2024-03-18 | $2.07 | $5.00 | Expiration | $2,875.30 | 141.23% | |
| 2024-03-19 | $1.98 | $5.00 | Expiration | $2,972.70 | 153.13% | |
| 2024-03-20 | $2.80 | $5.00 | Expiration | $2,150.00 | 78.70% | |
| 2024-03-21 | $2.06 | $6.85 | Expiration | $4,740.60 | 232.94% |