Daily Options Backtest — Jan 1 to 2026-04-17, 2026
| Filter | Status |
|---|---|
| Short strangle ≥ 0.1% of QQQ | ✔ Active |
| Short strangle ≤ 1.0% of QQQ | ✔ Active |
| Prior-day move ≤ 150% of wing (≤$7.50) | ✔ Active |
| Low-IV trap: skip when strangle < 0.8% AND avg5_move > $4.50 | ✔ Active |
| Avg credit ratio (traded days) | 0.270 (1.35/wing) |
| Avg short strangle % of QQQ (traded days) | 0.465% |
| Leg | Strike | Action | Role |
|---|---|---|---|
| Long Put | ATM − $15 | Buy | Outer put wing — defines max loss on downside |
| Short Put | ATM − $10 | Sell | Short put — lower body of condor |
| Short Call | ATM + $10 | Sell | Short call — upper body of condor |
| Long Call | ATM + $15 | Buy | Outer call wing — defines max loss on upside |
| Net credit at open (9:40 ET) | Max profit = credit × 100 × 40 (if QQQ stays between ±$10 of ATM) |
| QQQ moves > $15 from ATM | Max loss = ($5 − credit) × 100 × 40 |
| Avg net credit collected | $1.3500 per share |
| Auto-exit profit target | Close if P&L ≥ +90% of max profit |
| Auto-exit stop loss | Close if P&L ≤ −80% of max profit |
| Average winner | +$1,449 |
| Average loser | $-1,109 |
| Best trade | +$6,280 (2026-03-18) |
| Worst trade | $-3,160 (2026-03-23) |
| Total gross wins | +$20,280 |
| Total gross losses | $-15,520 |
Total P&L of +$4,760 over 28 trades across Jan–2026-04-17. The iron condor's OTM structure collects premium on QQQ while allowing a ±$10 buffer before max loss. QQQ's implied volatility typically generates attractive short strangle premiums.
The live script monitors positions every 5 minutes and can exit intraday. This backtest applies +90%/−80% thresholds at the 14:20 ET bar close only, understating how often stops would trigger intraday. Real performance may differ.
With QQQ, a ±$5 wing on a $10 short spread is a moderate structure. Monitor earnings dates and macro events. Consider widening WING_WIDTH (±$7–$10) or reducing QTY for live trading.
| Date | Day | Expiry | QQQ Open | ATM | LP/SP/SC/LC | Credit Open | Cr/Wing | Strangle% | Credit Close | P&L | Cum P&L | Exit |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026-01-05 | Monday | 2026-01-09 | $617.51 | 618 | 603/608/628/633 | $1.3000 | 0.260 | 0.457% | $1.2300 | +$280 | +$280 | SCHED |
| 2026-01-06 | Tuesday | 2026-01-09 | $619.34 | 619 | 604/609/629/634 | $1.1000 | 0.220 | 0.310% | $1.2900 | $-760 | $-480 | SCHED |
| 2026-01-07 | Wednesday | 2026-01-09 | $624.14 | 624 | 609/614/634/639 | $0.6800 | 0.136 | 0.192% | $0.7800 | $-400 | $-880 | SCHED |
| 2026-01-08 | Thursday | 2026-01-09 | $620.41 | 620 | 605/610/630/635 | $0.5400 | 0.108 | 0.139% | $0.4100 | +$520 | $-360 | SCHED |
| 2026-01-12 | Monday | 2026-01-16 | $625.38 | 625 | 610/615/635/640 | $1.5000 | 0.300 | 0.483% | $1.4500 | +$200 | $-160 | SCHED |
| 2026-01-13 | Tuesday | 2026-01-16 | $628.74 | 629 | 614/619/639/644 | $0.9400 | 0.188 | 0.275% | $0.7700 | +$680 | +$520 | SCHED |
| 2026-01-14 | Wednesday | 2026-01-16 | $621.16 | 621 | 606/611/631/636 | $1.1800 | 0.236 | 0.345% | $0.7400 | +$1,760 | +$2,280 | SCHED |
| 2026-01-20 | Tuesday | 2026-01-23 | $611.58 | 612 | 597/602/622/627 | $2.0700 | 0.414 | 0.754% | $1.6900 | +$1,520 | +$3,800 | SCHED |
| 2026-01-21 | Wednesday | 2026-01-23 | $609.25 | 609 | 594/599/619/624 | $1.2600 | 0.252 | 0.399% | $1.9500 | $-2,760 | +$1,040 | SCHED |
| 2026-01-26 | Monday | 2026-01-30 | $624.20 | 624 | 609/614/634/639 | $1.9100 | 0.382 | 0.687% | $2.1400 | $-920 | +$120 | SCHED |
| 2026-01-27 | Tuesday | 2026-01-30 | $627.85 | 628 | 613/618/638/643 | $1.5800 | 0.316 | 0.522% | $1.8800 | $-1,200 | $-1,080 | SCHED |
| 2026-01-28 | Wednesday | 2026-01-30 | $635.34 | 635 | 620/625/645/650 | $1.4000 | 0.280 | 0.444% | $1.8400 | $-1,760 | $-2,840 | SCHED |
| 2026-01-29 | Thursday | 2026-01-30 | $630.28 | 630 | 615/620/640/645 | $0.7400 | 0.148 | 0.211% | $0.6800 | +$240 | $-2,600 | SCHED |
| 2026-02-02 | Monday | 2026-02-06 | $622.29 | 622 | 607/612/632/637 | $2.3400 | 0.468 | 0.786% | $1.7800 | +$2,240 | $-360 | SCHED |
| 2026-02-03 | Tuesday | 2026-02-06 | $625.53 | 626 | 611/616/636/641 | $1.4100 | 0.282 | 0.473% | $1.8600 | $-1,800 | $-2,160 | SCHED |
| 2026-02-19 | Thursday | 2026-02-20 | $601.92 | 602 | 587/592/612/617 | $1.1900 | 0.238 | 0.362% | $0.7600 | +$1,720 | $-440 | SCHED |
| 2026-02-23 | Monday | 2026-02-27 | $606.79 | 607 | 592/597/617/622 | $2.1900 | 0.438 | 0.976% | $2.1700 | +$80 | $-360 | SCHED |
| 2026-02-25 | Wednesday | 2026-02-27 | $613.02 | 613 | 598/603/623/628 | $1.4700 | 0.294 | 0.465% | $1.6100 | $-560 | $-920 | SCHED |
| 2026-02-26 | Thursday | 2026-02-27 | $613.97 | 614 | 599/604/624/629 | $0.6800 | 0.136 | 0.228% | $0.7200 | $-160 | $-1,080 | SCHED |
| 2026-03-05 | Thursday | 2026-03-06 | $609.85 | 610 | 595/600/620/625 | $0.9200 | 0.184 | 0.297% | $1.1900 | $-1,080 | $-2,160 | SCHED |
| 2026-03-17 | Tuesday | 2026-03-20 | $604.72 | 605 | 590/595/615/620 | $1.5700 | 0.314 | 0.574% | $1.3100 | +$1,040 | $-1,120 | SCHED |
| 2026-03-18 | Wednesday | 2026-03-20 | $602.28 | 602 | 587/592/612/617 | $1.6700 | 0.334 | 0.501% | $0.1000 | +$6,280 | +$5,160 | ✓ PT90 |
| 2026-03-19 | Thursday | 2026-03-20 | $588.41 | 588 | 573/578/598/603 | $1.2500 | 0.250 | 0.398% | $0.6000 | +$2,600 | +$7,760 | SCHED |
| 2026-03-23 | Monday | 2026-03-27 | $591.56 | 592 | 577/582/602/607 | $1.4500 | 0.290 | 0.975% | $2.2400 | $-3,160 | +$4,600 | SCHED |
| 2026-03-25 | Wednesday | 2026-03-27 | $590.37 | 590 | 575/580/600/605 | $1.5500 | 0.310 | 0.498% | $1.2700 | +$1,120 | +$5,720 | SCHED |
| 2026-03-26 | Thursday | 2026-03-27 | $580.52 | 581 | 566/571/591/596 | $1.1100 | 0.222 | 0.300% | $1.1800 | $-280 | +$5,440 | SCHED |
| 2026-04-08 | Wednesday | 2026-04-10 | $606.71 | 607 | 592/597/617/622 | $0.9400 | 0.188 | 0.305% | $1.0300 | $-360 | +$5,080 | SCHED |
| 2026-04-13 | Monday | 2026-04-17 | $608.84 | 609 | 594/599/619/624 | $1.8600 | 0.372 | 0.652% | $1.9400 | $-320 | +$4,760 | SCHED |