Daily Options Backtest — Jan 1 to 2026-04-17, 2026
| Filter | Status |
|---|---|
| Short strangle ≥ 0.1% of SPY | ✔ Active |
| Avg credit ratio (traded days) | 0.293 (1.47/wing) |
| Avg short strangle % of SPY (traded days) | 0.497% |
| 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 SPY stays between ±$10 of ATM) |
| SPY moves > $15 from ATM | Max loss = ($5 − credit) × 100 × 40 |
| Avg net credit collected | $1.4665 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 | +$1,630 |
| Average loser | $-1,303 |
| Best trade | +$7,480 (2026-03-30) |
| Worst trade | $-3,880 (2026-02-03) |
| Total gross wins | +$50,520 |
| Total gross losses | $-24,760 |
Total P&L of +$25,760 over 51 trades across Jan–2026-04-17. The iron condor's OTM structure collects premium on SPY while allowing a ±$10 buffer before max loss. SPY'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 SPY, 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 | SPY 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 | $687.08 | 687 | 672/677/697/702 | $0.8200 | 0.164 | 0.205% | $0.5200 | +$1,200 | +$1,200 | SCHED |
| 2026-01-06 | Tuesday | 2026-01-09 | $688.18 | 688 | 673/678/698/703 | $0.4700 | 0.094 | 0.115% | $0.7100 | $-960 | +$240 | SCHED |
| 2026-01-12 | Monday | 2026-01-16 | $692.79 | 693 | 678/683/703/708 | $1.1100 | 0.222 | 0.300% | $0.8500 | +$1,040 | +$1,280 | SCHED |
| 2026-01-13 | Tuesday | 2026-01-16 | $695.79 | 696 | 681/686/706/711 | $0.4300 | 0.086 | 0.116% | $0.8100 | $-1,520 | $-240 | ✗ SL80 |
| 2026-01-14 | Wednesday | 2026-01-16 | $690.59 | 691 | 676/681/701/706 | $0.7000 | 0.140 | 0.178% | $0.7200 | $-80 | $-320 | SCHED |
| 2026-01-20 | Tuesday | 2026-01-23 | $682.49 | 682 | 667/672/692/697 | $1.5200 | 0.304 | 0.447% | $1.3100 | +$840 | +$520 | SCHED |
| 2026-01-21 | Wednesday | 2026-01-23 | $680.17 | 680 | 665/670/690/695 | $0.8800 | 0.176 | 0.240% | $1.5300 | $-2,600 | $-2,080 | SCHED |
| 2026-01-26 | Monday | 2026-01-30 | $691.70 | 692 | 677/682/702/707 | $1.2000 | 0.240 | 0.353% | $1.0500 | +$600 | $-1,480 | SCHED |
| 2026-01-27 | Tuesday | 2026-01-30 | $693.60 | 694 | 679/684/704/709 | $0.8100 | 0.162 | 0.235% | $0.7700 | +$160 | $-1,320 | SCHED |
| 2026-01-28 | Wednesday | 2026-01-30 | $697.16 | 697 | 682/687/707/712 | $0.5700 | 0.114 | 0.168% | $0.3200 | +$1,000 | $-320 | SCHED |
| 2026-02-02 | Monday | 2026-02-06 | $691.97 | 692 | 677/682/702/707 | $1.4800 | 0.296 | 0.421% | $1.2500 | +$920 | +$600 | SCHED |
| 2026-02-03 | Tuesday | 2026-02-06 | $695.75 | 696 | 681/686/706/711 | $0.6400 | 0.128 | 0.191% | $1.6100 | $-3,880 | $-3,280 | ✗ SL80 |
| 2026-02-04 | Wednesday | 2026-02-06 | $690.57 | 691 | 676/681/701/706 | $1.0200 | 0.204 | 0.284% | $1.5300 | $-2,040 | $-5,320 | SCHED |
| 2026-02-05 | Thursday | 2026-02-06 | $682.37 | 682 | 667/672/692/697 | $1.5100 | 0.302 | 0.375% | $0.7800 | +$2,920 | $-2,400 | SCHED |
| 2026-02-09 | Monday | 2026-02-13 | $691.05 | 691 | 676/681/701/706 | $1.5400 | 0.308 | 0.453% | $1.3600 | +$720 | $-1,680 | SCHED |
| 2026-02-10 | Tuesday | 2026-02-13 | $694.30 | 694 | 679/684/704/709 | $0.9800 | 0.196 | 0.275% | $0.8100 | +$680 | $-1,000 | SCHED |
| 2026-02-11 | Wednesday | 2026-02-13 | $695.19 | 695 | 680/685/705/710 | $0.5300 | 0.106 | 0.137% | $0.7300 | $-800 | $-1,800 | SCHED |
| 2026-02-17 | Tuesday | 2026-02-20 | $682.49 | 682 | 667/672/692/697 | $1.8600 | 0.372 | 0.539% | $1.6000 | +$1,040 | $-760 | SCHED |
| 2026-02-18 | Wednesday | 2026-02-20 | $684.25 | 684 | 669/674/694/699 | $1.2600 | 0.252 | 0.346% | $0.8900 | +$1,480 | +$720 | SCHED |
| 2026-02-19 | Thursday | 2026-02-20 | $683.68 | 684 | 669/674/694/699 | $0.7700 | 0.154 | 0.222% | $0.3900 | +$1,520 | +$2,240 | SCHED |
| 2026-02-23 | Monday | 2026-02-27 | $689.48 | 689 | 674/679/699/704 | $1.4200 | 0.284 | 0.548% | $1.5400 | $-480 | +$1,760 | SCHED |
| 2026-02-24 | Tuesday | 2026-02-27 | $682.60 | 683 | 668/673/693/698 | $2.3500 | 0.470 | 0.658% | $2.0100 | +$1,360 | +$3,120 | SCHED |
| 2026-02-25 | Wednesday | 2026-02-27 | $691.19 | 691 | 676/681/701/706 | $0.7500 | 0.150 | 0.217% | $0.7500 | +$0 | +$3,120 | SCHED |
| 2026-02-26 | Thursday | 2026-02-27 | $692.16 | 692 | 677/682/702/707 | $0.3500 | 0.070 | 0.110% | $0.3600 | $-40 | +$3,080 | SCHED |
| 2026-03-02 | Monday | 2026-03-06 | $681.00 | 681 | 666/671/691/696 | $3.1800 | 0.636 | 0.977% | $2.6900 | +$1,960 | +$5,040 | SCHED |
| 2026-03-03 | Tuesday | 2026-03-06 | $675.78 | 676 | 661/666/686/691 | $2.3000 | 0.460 | 0.830% | $2.8400 | $-2,160 | +$2,880 | SCHED |
| 2026-03-04 | Wednesday | 2026-03-06 | $680.95 | 681 | 666/671/691/696 | $1.6200 | 0.324 | 0.498% | $1.6900 | $-280 | +$2,600 | SCHED |
| 2026-03-05 | Thursday | 2026-03-06 | $683.63 | 684 | 669/674/694/699 | $0.7900 | 0.158 | 0.219% | $1.2800 | $-1,960 | +$640 | SCHED |
| 2026-03-09 | Monday | 2026-03-13 | $664.67 | 665 | 650/655/675/680 | $3.0300 | 0.606 | 1.468% | $2.1100 | +$3,680 | +$4,320 | SCHED |
| 2026-03-10 | Tuesday | 2026-03-13 | $677.04 | 677 | 662/667/687/692 | $2.0300 | 0.406 | 0.707% | $2.2500 | $-880 | +$3,440 | SCHED |
| 2026-03-11 | Wednesday | 2026-03-13 | $678.38 | 678 | 663/668/688/693 | $1.5100 | 0.302 | 0.448% | $1.7000 | $-760 | +$2,680 | SCHED |
| 2026-03-12 | Thursday | 2026-03-13 | $671.28 | 671 | 656/661/681/686 | $1.2100 | 0.242 | 0.301% | $1.0100 | +$800 | +$3,480 | SCHED |
| 2026-03-16 | Monday | 2026-03-20 | $669.01 | 669 | 654/659/679/684 | $2.6000 | 0.520 | 0.973% | $2.1500 | +$1,800 | +$5,280 | SCHED |
| 2026-03-17 | Tuesday | 2026-03-20 | $673.88 | 674 | 659/664/684/689 | $1.3800 | 0.276 | 0.567% | $1.4300 | $-200 | +$5,080 | SCHED |
| 2026-03-18 | Wednesday | 2026-03-20 | $669.07 | 669 | 654/659/679/684 | $1.4700 | 0.294 | 0.475% | $-0.3200 | +$7,160 | +$12,240 | ✓ PT90 |
| 2026-03-19 | Thursday | 2026-03-20 | $656.23 | 656 | 641/646/666/671 | $1.3800 | 0.276 | 0.407% | $0.6100 | +$3,080 | +$15,320 | SCHED |
| 2026-03-23 | Monday | 2026-03-27 | $658.24 | 658 | 643/648/668/673 | $2.5000 | 0.500 | 1.048% | $2.3300 | +$680 | +$16,000 | SCHED |
| 2026-03-24 | Tuesday | 2026-03-27 | $651.22 | 651 | 636/641/661/666 | $2.5200 | 0.504 | 0.983% | $2.2100 | +$1,240 | +$17,240 | SCHED |
| 2026-03-25 | Wednesday | 2026-03-27 | $659.88 | 660 | 645/650/670/675 | $1.6600 | 0.332 | 0.482% | $1.0800 | +$2,320 | +$19,560 | SCHED |
| 2026-03-26 | Thursday | 2026-03-27 | $650.79 | 651 | 636/641/661/666 | $1.1500 | 0.230 | 0.298% | $1.0100 | +$560 | +$20,120 | SCHED |
| 2026-03-30 | Monday | 2026-04-06 | $637.84 | 638 | 623/628/648/653 | $3.9500 | 0.790 | 1.772% | $2.0800 | +$7,480 | +$27,600 | SCHED |
| 2026-03-31 | Tuesday | 2026-04-06 | $639.75 | 640 | 625/630/650/655 | $2.6500 | 0.530 | 1.150% | $2.3000 | +$1,400 | +$29,000 | SCHED |
| 2026-04-01 | Wednesday | 2026-04-06 | $655.85 | 656 | 641/646/666/671 | $1.9300 | 0.386 | 0.732% | $1.5600 | +$1,480 | +$30,480 | SCHED |
| 2026-04-02 | Thursday | 2026-04-06 | $645.35 | 645 | 630/635/655/660 | $2.0000 | 0.400 | 0.665% | $2.5800 | $-2,320 | +$28,160 | SCHED |
| 2026-04-06 | Monday | 2026-04-10 | $656.58 | 657 | 642/647/667/672 | $2.3900 | 0.478 | 0.975% | $2.3200 | +$280 | +$28,440 | SCHED |
| 2026-04-07 | Tuesday | 2026-04-10 | $655.16 | 655 | 640/645/665/670 | $2.3200 | 0.464 | 0.951% | $2.6600 | $-1,360 | +$27,080 | SCHED |
| 2026-04-08 | Wednesday | 2026-04-10 | $675.39 | 675 | 660/665/685/690 | $0.8400 | 0.168 | 0.247% | $0.8300 | +$40 | +$27,120 | SCHED |
| 2026-04-09 | Thursday | 2026-04-10 | $675.12 | 675 | 660/665/685/690 | $0.4000 | 0.080 | 0.105% | $0.5000 | $-400 | +$26,720 | SCHED |
| 2026-04-13 | Monday | 2026-04-17 | $677.14 | 677 | 662/667/687/692 | $1.6500 | 0.330 | 0.505% | $1.6000 | +$200 | +$26,920 | SCHED |
| 2026-04-14 | Tuesday | 2026-04-17 | $689.02 | 689 | 674/679/699/704 | $0.8200 | 0.164 | 0.244% | $1.3300 | $-2,040 | +$24,880 | SCHED |
| 2026-04-15 | Wednesday | 2026-04-17 | $696.32 | 696 | 681/686/706/711 | $0.5400 | 0.108 | 0.168% | $0.3200 | +$880 | +$25,760 | SCHED |