How a backtest runs
One strategy variant, trade by trade: scheduled entries, strikes picked from the real option chain, intraday stop monitoring, and cash settlement at the official close.
Every variant in the catalog is the output of the same deterministic simulation. Here is what happens for one strategy, on one trading day.
1. Entry, on schedule
At the strategy's entry time (one of the 109 slots between 09:33 and 15:51 ET), the engine opens the position — put spread, call spread, or both sides for an iron condor. Weekday-gated variants only trade their configured days; EMA-gated METF variants first check the trend signal and sell the put or call side accordingly.
2. Strikes from the real chain
Strikes are selected from the actually-published option chain at that second — not from an interpolated model:
- The short strike is chosen so the spread's net credit matches the strategy's target premium (a $3.00 strategy looks for the strike pair paying closest to $3.00 right then).
- The long wing snaps to the nearest listed strike at or inside the target width — never wider, so the position never carries more risk than the parameter says.
- If the chain can't build the spread that day (no fitting strike, or the credit available is below a minimum floor of $5 per spread), the entry is skipped, not forced. Thin or broken market moments produce no fantasy trades.
3. Managed intraday
From entry to close, the position is marked against the second-level data:
- The stop loss (as % of collected credit) is monitored intraday — when the cost to close crosses the stop level, the position exits. How stop exits are priced is its own topic: Fills, stops & modeled P&L.
- A both-sided iron condor runs its put and call spreads as independent sub-positions — each side has its own credit and its own stop, and each side is recorded as its own trade. That's why win rate counts legs, and why Put-only + Call-only variants reconcile exactly to Both Sides.
4. Settlement
Positions not stopped run to expiry and settle to cash at the official settlement price — no closing order, which is exactly how SPX 0DTE works live. This "enter, stop, or settle" shape is the entire lifecycle; there are no discretionary exits hiding in the results.
5. Normalization
- Results are computed for one contract on a $100,000 account basis — the standardization that makes 245,250 variants comparable in one table.
- P&L figures are modeled P&L per contract (see the next page for what "modeled" means and what it doesn't claim).
- The same configuration on the same dataset version always produces identical results — backtests here are reproducible artifacts, not one-off runs.