Backtests
12 structures,
one framework.
Every strategy deep-dive in one place: win rates by delta, drawdowns by regime and the management rules that moved the result, for iron condors, credit spreads, the wheel, covered calls, cash-secured puts and earnings straddles.
2020-24Regime sample: COVID, melt-up, the 2022 bear, the grind
30-45DTE at entry, delta-based strikes
50%Of max profit closes the trade; manage at 21 DTE
The deep-dives
The structure,
then its record.
These are illustrative historical analyses on the same framework, not verified live backtests. They show how each structure behaves across regimes; they do not promise returns. The full assumptions are on the methodology page.
Iron Condor 70% win rate
60-cycle SPY/SPX roll, 2020-2024. 16-delta short strikes, win rate by delta, drawdown by VIX regime, and the exit rule that quadrupled net P&L.
Neutral · Defined risk
Credit Spread 75% win rate
60 SPY put-credit-spread cycles across five regimes. 16-delta entries, exit-rule comparison, and the exit rule that supplies the whole edge.
Directional · Defined risk
Wheel Strategy +41% SPY, 5 yrs
5-year SPY/AAPL/KO run. 7.1% annualised yield, -13% max drawdown against -22% buy-and-hold, and the 2022 year where the wheel beat the index by 17 points.
Income · CSP + CC
Covered Call 5.8% ann. yield (SPY)
5 years of monthly 30-delta calls on SPY, AAPL and QQQ. Sharpe 1.4 against 1.2 buy-and-hold, strike-delta comparison, and the one regime where covered calls won outright.
Income · Stock overlay
Cash-Secured Put 6.2% ann. yield (SPY)
5-year 30-delta SPY/AAPL/KO put-selling run. Win rate by delta, IV-rank regimes, the 2022 drawdown anatomy, and what assignment handling costs.
Income · Cash secured
Long Straddle (Earnings) 38% win rate
100 earnings events on top mega-caps. IV crush wins on average, but the IV-rank-under-20 bucket was net profitable, and the tails are where the interest lives.
Volatility · Long premium
Bull Put Spread 72% win rate
60 cycles on high-IV single names. 25-delta entries, IV-rank-timed against always-on, and why single-name premium is richer but the gaps cut deeper than the index.
Directional · Defined risk
Short Strangle 68% win rate
60 cycles selling 16-delta puts and calls. Double the condor's credit, deeper drawdown, and why the 2022 vol expansion makes a stop mandatory.
Neutral · Undefined risk
Calendar Spread +19% avg / debit
19 qualifying SPY put calendars out of 60 months. Why the front/back IV filter is the whole edge, and why max loss is the debit while max profit has no formula.
Neutral · Long vega
Butterfly Spread +320% avg winner
80 long-fly trades. A low 31% win rate, winners that pay multiples of a small debit, and how a broken-wing skew lifts the hit rate to about 45%.
Neutral · Tail payoff
Iron Butterfly 62% win rate
60 ATM-straddle cycles with wings. Roughly double the condor's credit for a narrower zone, win rate by wing width, and why you take profit at 25%.
Neutral · Defined risk
Collar -8% max drawdown
5-year SPY protective collar against buy-and-hold. Trails in bull years, finishes about flat in the 2022 bear, and cuts max drawdown from -22% to -8%.
Defensive · Stock overlay
At a glance
Headline numbers,
side by side.
All figures assume the managed variant (close at 50% of max profit) on the primary ticker tested.
| Strategy | Typical win rate | Max drawdown profile | Best regime |
|---|---|---|---|
| Iron Condor | ~70% (16-delta, 50% close) | -18% in the 2022 vol expansion | Range-bound, VIX 15-22 |
| Credit Spread (bull put) | ~75% (16-delta + 50% close) | -15% in the 2022 bear leg | Bull and choppy markets; net-negative in bears |
| Wheel Strategy | ~72% (25-delta puts) | -13% vs -22% buy-and-hold | Flat and bear markets (beat SPY by 17 pts in 2022) |
| Covered Call | ~68% of calls expire OTM (30-delta, ~32% assignment) | Equity-like minus premium; -12% vs -19% SPY in 2022 | Flat and bear markets; lags strong rallies |
| Cash-Secured Put | ~67% (30-delta, 50% close) | -14% vs -22% buy-and-hold | Moderate IV (rank 20-40); avoid IV rank over 70 |
| Long Straddle (earnings) | ~38% (loses on average) | Slow grind down; tail-driven P&L | Only IV rank under 20 into the event |
| Bull Put Spread (single names) | ~72% (25-delta + 50% close) | -18% from single-name gaps | Bull / choppy markets, IV rank over 40 |
| Short Strangle | ~68% (16-delta, 50% close) | -24% in 2022; undefined risk | Range-bound, falling IV from a high IV rank |
| Calendar Spread | ~63% (front/back IV > 1.02) | -$104 worst trade; max loss capped at the debit | Front-month IV richer than back-month; price pinning near the strike |
| Butterfly (long fly) | ~31% (high-payoff, low-probability) | Full-debit losers; tail-driven winners | Quiet, pinning regimes near a magnet level |
| Iron Butterfly | ~62% (ATM, 25% close) | -20% in 2022; narrow zone | High ATM premium with a strong pin thesis |
| Collar (defensive overlay) | n/a (hedged long stock) | -8% vs -22% buy-and-hold | Bear and choppy years; lags strong rallies |
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on the live chain.
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