0DTE SPX Iron Condor · BS-estimated premiums (flat IV, no skew) · net of est. costs · settlement-based
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SD Level Comparison — All Strategies
SD Level
Win Rate P&L
Contain price path
Scares
Avg Credit
Avg Win
Avg Loss
Contracts
Margin Used
Est. Annual P&L
ROI
Max Streak
Worst Day
Days to Ruin
Capital Safety Analysis
Drawdown Scenarios
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
Days Like Today — regime-conditional SD
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Conditional Backtest — SD by regime bucket
Uses the sizing inputs above. Contain % = close settled inside the short strikes (pure price-path);
held % / EV ride on the same BS credit assumptions as the main backtest.
Pick a dimension and run — answers "what SD was optimal on days like X" over the full history.
Real-Credit Backtest — actual NBBO quotes
Uses capital / wing / risk inputs above. Credits from real skewed NBBO at the entry slot;
SD ruler = that slot's ATM straddle. Requires chain_snapshots_hist (ThetaData backfill) on this host.
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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