Strategy research · full-period backtest
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.
Headline · Jun 2022 – Apr 2026
Total P/L
+$171,323
Win rate
74.7%
Max drawdown
−$11,853
Peak P/L
+$174,695
Cumulative P/L · 1 contract
Year-by-year
| 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 |
Locked configuration
- 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
Verdict
DEPLOYProfitable across every full year tested
- 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.
Methodology · short version
- 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.