IC Backtest — Capital Optimizer
0DTE SPX Iron Condor · BS-estimated premiums (flat IV, no skew) · net of est. costs · settlement-based
SD Level Comparison — All Strategies
| SD Level |
Win Rate |
Scares |
Avg Credit |
Avg Win |
Avg Loss |
Contracts |
Margin Used |
Est. Annual P&L |
ROI |
Max Streak |
Worst Day |
Days to Ruin |
Equity Curve
Cumulative P&L (net of est. costs) for suggested contract count · drawdown & ROI derived from this same curve
Black Swan Days — Worst Historical Losses
| Date |
SPX Open |
SPX Close |
Move |
VIX |
Loss / Contract |
Total Loss |
Win Rate by SD Level
📊
Configure your capital and click Run Analysis to see the optimal IC strategy with full statistics.
First run: make sure historical data is loaded.
Run: node scripts/migrate-backtest.js
then node scripts/load-historical-data.js
Running simulation…
Calculating 10 SD levels × 2,500 trading days × Black-Scholes pricing