Strategy rules
The exact rules behind every strategy in the catalog — entry, strikes, width, premium, stop loss, the METF trend filter and the RIC/NoWings VIX filter — in plain words.
Every row in the Strategy Browser is one backtested template: a fixed set of rules applied the same way on every trading day of the backtest. This page lists those rules for every family.
Quickest way to see one strategy's rules: click Rules next to the strategy name in the catalog. It opens the full rule set for that exact row — its entry time, strikes, width, stop, trend filter, VIX filter and data range.
All strategies trade SPX options that expire the same day (0DTE), and every row enters once per trading day at its entry time (Eastern Time). A "multiple-entry" portfolio is built by adding several rows with different entry times in the Portfolio Builder.
Rules shared by the credit strategies (MEIC, METF, Ratio)
| Rule | What it means |
|---|---|
| Entry time | The time of day (ET) the position is opened. One entry per day. |
| Width | Distance in points between the sold strike and the bought strike of each spread. |
| Premium | The credit target per spread. The sold strike is chosen to collect about this credit. |
| Stop loss (SL) | A spread is closed when its loss reaches this percentage of the credit received for it. Example: a 95% stop on a $3.00 credit closes at about a $2.85 loss. Each side has its own stop. "No stop" means the position is held to expiry. |
| Exit | If the stop is not hit, the spread is held to expiry and settles at the close. There is no profit target. |
| VIX filter | None — these strategies enter every trading day. |
MEIC — Multiple-Entry Iron Condor
- MEIC Both Sides — sells a put spread and a call spread at the entry time (an iron condor). There is no trend filter.
- MEIC Put-only / Call-only — just one side of that same iron condor, as a standalone strategy. Put-only + Call-only = Both Sides exactly.
METF — Multiple-Entry Trend Following
METF sells either a put spread or a call spread at the entry time. A trend filter picks the side:
- The filter compares two exponential moving averages (EMAs) of SPX on 1-minute bars, checked at that entry's minute — not once per day.
- Fast EMA above slow EMA (uptrend) → sell the put spread.
- Fast EMA below slow EMA (downtrend) → sell the call spread.
- The variant name gives the EMA pair: 20-40 = EMA 20 vs EMA 40, 5-40 = EMA 5 vs EMA 40, 5-20 = EMA 5 vs EMA 20.
Because the EMAs are checked per minute, one day can have entries on both sides when you combine several entry times.
METF Put-only / Call-only keep only the entries where the filter picked that side. Put-only + Call-only = Both for the same parameters.
Ratio — 1P:2C and 1C:2P
One big spread (quantity 1) against two small spreads on the other side (quantity 2), all opened at the same entry time with the same stop:
- The width and premium shown belong to the big spread.
- Each small spread collects half the premium, so both sides collect the same total credit.
- Small-spread width follows a fixed map: 100 → 50, 150 → 70, 200 → 100.
- 1P:2C = one big put spread + two small call spreads. 1C:2P is the mirror.
RIC — Reverse Iron Condor
RIC buys options instead of selling them. It profits from a large move in either direction, and the most it can lose is the debit paid.
| Rule | What it means |
|---|---|
| Entry time | One entry per day at this time (ET). |
| Long options | Buys one call and one put. Each is chosen either by price (e.g. "C $6 / P $8" = a call priced about $6 and a put priced about $8 — two independent targets) or by delta (e.g. "C 60Δ / P 60Δ"). |
| Wings | Sells a call this many points above the long call and a put this many points below the long put. The wings cap the risk. |
| Stop loss | None. |
| Exit | Held to expiry; settles at the close. No profit target. |
| VIX filter | Either No VIX filter or Only when VIX opens lower — see below. |
NoWings — Long Strangle
The same long call and long put as RIC, without the wings. The two strikes normally differ, so this is a strangle, not a straddle. Same entry, exit and VIX rules as RIC.
The VIX filter (RIC and NoWings only)
Every RIC and NoWings template exists in two versions:
| Shown as | Rule |
|---|---|
| No VIX filter | The strategy enters every trading day. |
| Only when VIX opens lower | The strategy enters only on days when VIX opens lower than it closed the day before: VIX's first price after the 9:30 ET open must be at least 0.01% below the prior day's 4:15 pm ET close. If VIX opens flat or higher, the strategy skips that day. |
There is no lower limit — a day where VIX opens 3% lower qualifies just like a
day where it opens 0.1% lower. In the strategy ID this shows up as the suffix
VIXODN0-01 ("VIX overnight down, 0.01%"); VIXNONE means no filter.
Your own imported strategies
Strategies you import carry the rules of the platform they came from. The Engine only sees their daily results, so it does not show a rule set for them.
Related
- Metrics & columns — what each column in the catalog means.
- Glossary — short definitions of every term.
- How a backtest runs and Fills, stops & modeled P&L — how fills and stops are modeled.
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