Options Strategy Backtests
Every strategy deep-dive on ApexVol in one place: win rates by delta, drawdowns by regime, and the management rules that actually moved the needle — for iron condors, credit spreads, the wheel, covered calls, cash-secured puts, and earnings straddles.
Each page follows the same illustrative framework: consistent entry rules (delta-based strikes, 30-45 DTE), consistent management (close at 50% of max profit, manage at 21 DTE), and the same 2020-2024 regime sample spanning the COVID shock, the melt-up, the 2022 bear, and the 2023-2024 grind. These are illustrative historical analyses, not verified live backtests — the goal is to show how each structure behaves across regimes, not to promise returns. Full assumptions are on the methodology page.
The Deep-Dives
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.
Read the backtest → Directional · Defined Risk60 SPY put-credit-spread cycles across five regimes. 16-delta entries, exit-rule comparison, and the management rules that beat hold-to-expiration by 5×.
Read the backtest → Income · CSP + CC5-year SPY/AAPL/KO run. 7.1% annualized yield, -13% max drawdown vs -22% buy-and-hold, and the 2022 year where the wheel beat the index by 17 points.
Read the backtest → Income · Stock Overlay5 years of monthly 30-delta calls on SPY, AAPL and QQQ. Sharpe 1.4 vs 1.2 buy-and-hold, strike-delta comparison, and the one regime where CCs won outright.
Read the backtest → Income · Cash Secured5-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.
Read the backtest → Volatility · Long Premium100 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.
Read the backtest → Directional · Defined Risk60 cycles on high-IV single names. 25-delta entries, IV-rank-timed vs always-on, and why single-name premium is richer but the gaps cut deeper than the index.
Read the backtest → Neutral · Undefined Risk60 cycles selling 16-delta puts and calls. Double the condor's credit, deeper drawdown, and why the 2022 vol expansion makes a stop mandatory.
Read the backtest → Neutral · Long Vega48 monthly long calendars. Win rate by IV rank, the contango-vs-backwardation split, and why a big directional move — not vega — is the enemy.
Read the backtest → Neutral · Tail Payoff80 long-fly trades. Low 31% win rate, winners that pay multiples of a small debit, and how a broken-wing skew lifts the hit rate to ~45%.
Read the backtest → Neutral · Defined Risk60 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%.
Read the backtest → Defensive · Stock Overlay5-year SPY protective collar vs buy-and-hold. Trails in bull years, finishes ~flat in the 2022 bear, and cuts max drawdown from -22% to -8%.
Read the backtest →Strategy Comparison at a Glance
Headline numbers from each illustrative deep-dive, 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 | ~58% (low IV rank + contango) | -22% on a large directional move | Low IV, positive term-structure slope, pinning |
| 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 |
The through-line: management rules matter more than strategy selection. Closing at 50% of max profit beat hold-to-expiration in every premium-selling deep-dive — by 4-5× on net P&L for condors and spreads. And the highest-premium regimes (VIX over 30, IV rank over 70) were consistently the worst buckets for new short-premium entries.
How to Read These Numbers
They are illustrative. Each narrative is constructed from typical strategy mechanics and historical volatility regimes — not from live broker fills. Live results will differ on slippage, fees, fills, and assignment timing.
They share one framework. Delta-based strike selection, 30-45 DTE entries, close at 50% of max profit, manage at 21 DTE, January 2020 through December 2024. That consistency is what makes the cross-strategy comparison meaningful.
Win rate is not expectancy. Every short-premium strategy here has average losers bigger than average winners. The 10-delta iron condor wins 85% of the time and still loses money. Read the expectancy and drawdown columns, not just the hit rate.
Full data-sourcing notes, formulas, and limitations are on the methodology page.
Test the rules against live data
Build any of these structures in the strategy lab with live ORATS chains, or check IV rank before your next entry.
All backtest narratives on this page are illustrative — built from typical strategy mechanics and historical volatility regimes, not from live broker fills. Past performance, simulated or real, does not predict future results. See methodology.