Strategy Backtests
Every structure, tested on real historical prices with the same stop-loss and take-profit rules the simulator applies. Pick the edge first — then open it in the Strategy Builder.
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Active SignalsSPXsingle source · all gamma signals
POSITIVE GAMMA REGIME
Mean-reverting · low volatility expected
Iron Condor · SPX
36 simulated trades · 30 DTE · stop 50% / target 50% of risk · 180 days of history
Profit factor
5.70
Expectancy / trade
+$680
Worst trade
-$1159
Avg hold
10.9d
Avg capital / trade
$275788
Avg risk / trade
$1010
Return on capital
8.9%
Exit breakdown
Take profit hit30 · 83%
Stop loss hit5 · 14%
Held to expiry1 · 3%
Last trades
| # | Entry | Exit | Held | Reason | P&L |
|---|---|---|---|---|---|
| 36 | 09-23 @ 6754.69 | 09-27 @ 6806.98 | 4d | expiry | +$231 |
| 35 | 09-18 @ 6811.35 | 09-25 @ 6760.56 | 7d | target | +$906 |
| 34 | 09-13 @ 6813.12 | 09-21 @ 6825.88 | 8d | target | +$910 |
| 33 | 09-08 @ 6801.5 | 09-17 @ 6828.57 | 9d | target | +$941 |
| 32 | 09-03 @ 6782.47 | 09-13 @ 6813.12 | 10d | target | +$1024 |
| 31 | 08-29 @ 6757.07 | 09-06 @ 6767.17 | 8d | target | +$927 |
| 30 | 08-24 @ 6842.84 | 08-31 @ 6797.02 | 7d | target | +$910 |
| 29 | 08-19 @ 6940.12 | 09-01 @ 6802.6 | 13d | target | +$943 |
Per-leg stop-loss / take-profit · last trade (09-23)
| Leg | Entry | Stop | Target | Exit | Status | Capital | Risk | P&L |
|---|---|---|---|---|---|---|---|---|
| SHORT 1x 6415 PUT 30d | $11.24 | $16.86 | $5.62 | $2.04 | target · d1 | $127176 | $562 · 163.7% | +$920 |
| LONG 1x 6080 PUT 30d | $1.20 | $0.60 | $1.80 | $0.01 | stopped · d1 | $120 | $60 · -198.3% | -$119 |
| SHORT 1x 7090 CALL 30d | $7.25 | $10.88 | $3.63 | $13.20 | stopped · d1 | $141075 | $363 · -163.9% | -$595 |
| LONG 1x 7430 CALL 30d | $0.05 | $0.03 | $0.08 | $0.30 | target · d1 | $5 | $2 · 1250% | +$25 |
Educational simulation on real historical prices with model-priced option legs. Past performance is not indicative of future results and this is not investment advice.
Backtesting FAQ
- How are the strategy backtests calculated?
- Each preset is replayed over real daily price history for the selected underlying. Legs are priced with Black-Scholes using the realized volatility of that history, and every trade is managed with the same portfolio stop-loss and take-profit rules the simulator applies.
- Which option strategies can I backtest?
- Iron condors, credit and debit verticals, straddles, strangles, butterflies, calendars and single-leg calls or puts — every structure available in the Strategy Builder.
- What metrics does each backtest report?
- Net P&L, win rate, profit factor, expectancy per trade, maximum drawdown, average holding period, the best and worst trade, and a breakdown of how each trade exited (stop, target or expiry).
- Are stop-loss and take-profit applied per leg?
- Yes. Every leg carries its own historical stop-loss and take-profit premium levels, and the engine records the day each leg first touched one of them, in addition to the portfolio-level exit rule.
- Is a backtest a guarantee of future results?
- No. Backtests are educational simulations on historical data. Past performance is not indicative of future results and nothing here is investment advice.