A rules-based 0DTE options strategy on SPX that enters multiple times per day, each entry selling a single credit spread on the trend side of an EMA crossover state — put credit spreads while the fast EMA is above the slow EMA, call credit spreads while it is below.
The name describes the two mechanics: multiple entries (the day's risk is split into several time-separated tranches instead of one position) and trend following (each entry's direction comes from a mechanical EMA comparison, not discretion). METF is the directional counterpart to MEIC, the market-neutral multiple-entry iron condor.
What is the METF strategy?
METF is a defined-risk, direction-aware complement to market-neutral 0DTE premium selling: instead of selling both sides of the market at once like an iron condor, each METF entry sells only the side the current trend state favors. The approach was popularized in the 0DTE community around Tammy Chambless's MEIC strategy, with the METF variant generally credited to Dan Yaklin. This page documents the strategy framework the way we run it in our backtest engine — including the parameter bands, the gate mechanics, and backtest data on the one design detail that matters most (the split gate).
A market-neutral iron condor earns when SPX moves sideways and loses on one side when the index trends. METF inverts that trade-off: it accepts a directional opinion — sourced from a mechanical signal — in exchange for holding only the spread that the trend state historically favored. On strong trend days, the days that hurt an iron condor most, a correctly gated METF book held only the side that benefited from the move.
Three properties define the framework:
- One side per entry. Each entry is a single two-leg credit spread (short strike closer to the money, long strike further out as the hedge) — never both sides at once. Maximum loss is defined at entry: spread width minus credit received.
- Signal, not discretion. Before each scheduled entry, a fast EMA is compared to a slow EMA on 1-minute SPX data. The comparison — not a trader's opinion — picks the side.
- Multiple entries. Risk is spread across tranches over the trading day, so no single entry timing decides the day. Entry count and times are backtest-tuned, not fixed.
How does multiple entries trend following work?
Each scheduled entry checks the EMA state, sells one credit spread on the favored side at a target credit, and attaches a stop-loss; the position is held to expiration unless the stop triggers. SPX options are cash-settled and European-style (no early assignment, no shares delivered), which is what makes running several same-day tranches operationally clean.
A credit spread pays you a premium up front. If SPX finishes the day on the right side of your short strike, both legs expire worthless and the credit is kept. The short strike does not need the market to move your way — it needs the market to not cross the strike.
Opened when the fast EMA is above the slow EMA — the position profits if SPX stays above the short strike through expiration.
- P/L at expiration
- Profit zone
- Loss zone
Opened when the fast EMA is below the slow EMA — the position profits if SPX stays below the short strike through expiration.
- P/L at expiration
- Profit zone
- Loss zone
METF opens only one of these two structures per entry — never both at the same time. That single choice per entry is exactly the directional bias an iron condor doesn't have.
Because every entry picks its strikes relative to the current SPX price, strikes travel with the market during the day. Two schematic example days show the mechanics:
A day with a trend reversal
Bullish morning, bearish afternoon — the EMA state flips intraday, so the day collects one put credit spread and one call credit spread at different times.
Schematic: SPX opens at 6000, closes at 6005. Bullish morning phase → put credit spread at 12:30 (5950/5920). Bearish turn → call credit spread at 14:00 (6050/6080). Both spreads expire worthless = max profit on both.
A one-way bullish day
When the fast EMA stays above the slow EMA all day, every entry of the day becomes a put credit spread, and each new tranche re-anchors its strikes below the now-higher index level.
Schematic: SPX opens at 6944, closes at 7048 (+1.5%). The EMA cross stays bullish all day → four put credit spreads, all expiring worthless = max profit on all of them.
Strikes travel with the move. Each entry selects its short strike relative to the SPX price at that moment — not the opening print. The buffer between market and short strike stays roughly constant across the day, even after a 50-point move.
What EMAs does METF use and how does the crossover gate work?
The documented community configuration uses a 20/40 EMA pair on intraday data; our backtests sweep 20/40, 5/40, and 5/20 on 1-minute SPX bars, and the pair is a tuning parameter — not a constant. The gate itself is a simple state comparison evaluated at each entry time:
- Fast EMA above slow EMA → uptrend state → sell a put credit spread
- Fast EMA below slow EMA → downtrend state → sell a call credit spread
This is an EMA-gated entry in the strict sense: a side is eligible only while the declared EMA state holds at that entry's timestamp. It is a state check, not a crossover-event trigger — an entry at 13:00 ET cares about where the EMAs sit at 13:00 ET, not whether they crossed at 10:15. If the available credit at the target strikes is below the configured premium floor, the entry is skipped entirely; low-volatility afternoons regularly fail that filter.
Schematic illustration. Bullish phase (left) → put credit spreads. After the EMA cross → call credit spreads. A real session can flip multiple times.
Why both-sides METF needs two gates, not one
Running put and call spreads behind one shared trend condition is the most common METF implementation mistake — the data says each side needs its own gate. A put credit spread belongs behind a fast-above-slow gate and a call credit spread behind a fast-below-slow gate. Wire both sides to a single condition and one side permanently trades against the state that historically favored it.
We measured this on our backtest catalog: 19,512,000 simulated SPX 0DTE credit-spread trades computed from second-level (1-second resolution) options data, July 2024 through June 2026, covering 19,620 parameter combinations per side — every combination of six spread widths (30–200 points), three stop levels (95–200% of credit), ten target credits ($1.00–$6.00), and 109 entry slots (09:33–15:51 ET). For every trade we recorded the EMA state at entry and grouped per-trade P/L by side and state:
SPX 0DTE credit spreads, EMA 20/40 gate, Jul 2024 – Jun 2026. Same trade universe, split only by which side of the EMA state each entry landed on.
Source: Cashflow Engine backtest data — 19,512,000 backtested SPX 0DTE credit-spread trades computed from second-level options data, Jul 2024 – Jun 2026, 19,620 parameter combinations per side, EMA 20/40 measured at each entry.
Two structural results, stated in past tense because they describe this backtest window:
- Each side's performance concentrated behind its own gate. Call credit spreads averaged +$24.61 per trade entered during downtrend states versus +$7.37 entered during uptrend states — a 3.3× difference on the same parameter grid. Put credit spreads averaged +$7.44 behind their own gate versus −$6.67 on the wrong side: the only net-losing bucket of the four.
- The asymmetry is directional. Wrong-side put spreads lost money outright while wrong-side call spreads merely underperformed. That matches how SPX historically moved: declines were fast and violent (crushing put spreads sold into downtrends), while rallies were slow and grinding (eroding, not destroying, call spreads sold into uptrends).
Aggregated into strategy form, the effect was consistent across all three EMA pairs we swept:
| EMA pair | Split gates (per side) | One shared gate (fast ≥ slow) | One shared gate (fast < slow) | No gate (both sides daily) |
|---|---|---|---|---|
| 20/40 | +$15.22 | +$7.40 | +$8.92 | +$8.09 |
| 5/40 | +$15.67 | +$8.29 | +$7.85 | +$8.09 |
| 5/20 | +$15.63 | +$9.66 | +$6.32 | +$8.09 |
Average backtested P/L per 1-lot trade, USD. Source: Cashflow Engine backtest data, Jul 2024 – Jun 2026. Same trade universe in every column — only the gating rule differs.
Figures above are aggregates over a full parameter sweep — not a tradable strategy's track record. Sweeps inherently contain selection bias: any single "best" cell from 19,620 combinations overstates what was knowable in advance, which is why we publish bucket averages across the entire grid instead of a champion configuration. Backtested results are hypothetical, include modeled (not actual) fills, are net of commissions and modeled slippage, and past performance — simulated or real — does not indicate future results.
What is the difference between MEIC and METF?
MEIC is market-neutral and sells both sides simultaneously; METF is directional and sells exactly one EMA-selected side per entry. They lose in different regimes — MEIC on trend days, METF on choppy whipsaw days — which is precisely why they pair well in one portfolio.
| Property | MEIC (Multiple Entry Iron Condor) | METF (Multiple Entries Trend Following) |
|---|---|---|
| Bias | Market-neutral — both sides | Directional — one side per entry |
| Structure | Iron condor (4 legs) | Single credit spread (2 legs) |
| Signal | None — same schedule daily | EMA state per entry (pair is tunable) |
| Earned historically in | Sideways, low-volatility days | Clear intraday trends |
| Struggled historically in | Strong trend days | Choppy / whipsaw days |
| Entries per day | Typically 6, spread across the day | Flexible, backtest-tuned |
| Target credit | $1.00 – $6.00 per iron condor | $1.25 – $4.00 per spread |
| Stop-loss | ~1× credit per side | 100% – 200% of credit |
On the day a trending market stops out one side of every MEIC tranche, a correctly gated METF book held only spreads on the side that the trend rewarded. The two strategies disagree about the same market event — which is what "diversification" actually means on a single underlying: lower correlation, not more tickers.
How do you backtest a METF strategy?
METF is a framework with parameter bands, not a fixed recipe — every live-worthy variant comes out of a sweep, not a hunch. The bands below are the search space we sweep; a concrete variant fixes one value per row.
| Parameter | Search band |
|---|---|
| Underlying / expiration | SPX (PM-settled), 0DTE |
| Structure | Single credit spread (2 legs) |
| Spread width | 10 – 200 points |
| Target credit | $1.25 – $4.00 per spread |
| Stop-loss | 100% – 200% of credit |
| Profit target | None — hold to expiration |
| EMA pair (1-min) | 20/40 · 5/40 · 5/20 |
| Entries per day | Flexible — count, times, and spacing are tuned |
- Step 1
Sweep the parameter space
Backtest the full band grid — width, credit, stop, EMA pair, entry schedule — against second-level (1-second resolution) options data, and cross-validate promising variants on an independent second backtest implementation before trusting them.
- Step 2
Filter for robustness, not peak P/L
Select variants that held up across sub-periods on risk-adjusted metrics (MAR, Sharpe, Sortino) — not the single best total-P/L cell, which is where selection bias lives.
- Step 3
Check portfolio fit
Combine candidate METF variants with existing MEIC strategies, measure the correlation matrix, and assign allocation and buying-power routing per variant.
- Step 4
Backtest the combined portfolio
Run the full combination against history as a sanity check: did the equity curve actually smooth out, and did maximum drawdown stay inside the threshold? Only then does a variant graduate.
Certain days are commonly excluded regardless of the signal — typically FOMC announcement and FOMC minutes days, where late-day volatility historically produced stop slippage across several simultaneous positions. Which calendar filters a variant uses is itself a backtested configuration choice.
Terms & Definitions
- METF
- Multiple Entries Trend Following — an SPX 0DTE strategy family that opens directional credit spreads at multiple intraday entry times, gated by a trend filter (e.g. EMA crossover) so entries only fire with the prevailing intraday trend.
- EMA Gate
- An entry condition that makes one option side eligible only while a declared EMA state holds (e.g. fast EMA above slow EMA) at the entry timestamp — a state check evaluated per entry, not a crossover-event trigger.
- Split Gate
- The both-sides METF configuration in which each side has its own EMA gate: put credit spreads eligible while the fast EMA is above the slow EMA, call credit spreads while it is below. The opposite of one shared gate applied to both sides.
- Multiple Entries
- Splitting a day's total position into several time-separated tranches instead of one entry, so no single entry timing decides the day's outcome.
- MEIC
- Multiple Entry Iron Condor — an SPX 0DTE strategy family that opens several iron condors staggered across the trading day instead of a single entry, diversifying entry-time risk within one expiration.
- 0DTE
- Zero Days to Expiration — options that expire on the day they are traded. On SPX, daily SPXW expirations make 0DTE strategies tradable every session.
- Credit Spread
- A defined-risk, two-leg options position that sells one option and buys a further out-of-the-money option of the same type and expiration, collecting a net premium up front.
- EMA Crossover
- The event of a faster exponential moving average crossing a slower one — upward crosses signal an uptrend state, downward crosses a downtrend state.
- SPX
- The S&P 500 index. SPX options are cash-settled, European-style, and available with daily (SPXW) expirations — the standard underlying for 0DTE strategies.
Frequently Asked Questions
- What is the METF strategy?
- METF (Multiple Entries Trend Following) is a systematic SPX 0DTE options strategy that sells one defined-risk credit spread per entry on the side favored by an EMA state — put credit spreads while the fast EMA is above the slow EMA, call credit spreads while it is below — repeated across multiple entries per day. It is the directional complement to the market-neutral MEIC iron condor approach.
- What EMAs does METF use and how does the crossover gate work?
- The commonly documented configuration compares a 20-period and a 40-period EMA on intraday SPX data; 5/40 and 5/20 are standard alternatives, and the pair is a backtest-tuned parameter. Before each scheduled entry the fast EMA is compared to the slow EMA at that timestamp: fast above slow makes the put side eligible, fast below slow the call side. In both-sides METF each side runs behind its own gate — in our 24-month backtest, per-side gating roughly doubled average backtested P/L per trade versus one shared gate.
- What is the difference between MEIC and METF?
- MEIC is market-neutral: it sells put and call spreads simultaneously as iron condors and historically earned on sideways days while losing on trend days. METF is directional: it sells only the EMA-favored side per entry and historically earned on trending days while struggling in choppy markets. Because they respond differently to the same market event, combining them historically lowered strategy correlation within a single-underlying portfolio.
- Which parameters matter most in a MEIC or METF backtest?
- For METF: the per-side EMA gating (the split gate), the EMA pair, spread width, target credit, stop-loss level, and the entry schedule. In our 24-month sweep the gating rule dominated — per-side gates averaged +$15.22 per backtested trade versus +$7.40 for a shared gate on the same trade universe — while width, credit, and stop mostly traded off win rate against loss size. Robustness across sub-periods matters more than any single optimal cell.
Mandatory pit stop: Options trading involves significant risks and is not suitable for every investor. Past results are no guarantee of future performance.