SPX 0DTE Momentum Credit Spread
Simulated backtest on SPX, 2022-11-04 to 2026-11-04 (4.0 years)
Published 2026-11-05. A snapshot taken then, not a live view.
| Result | |
|---|---|
| Total return | 52.4%a |
| Simulated: how this strategy would have performed on historical data. Not a prediction of future results. | |
| CAGR | 11.1% |
| Total P/L | $52,445 |
| Starting capital | $100,000 |
| Ending equity | $152,445 |
| Risk | |
| Max drawdown | 7.6%b |
| The drawdown band on the chart uses the chart's own points. Max drawdown is the engine's figure, from every point of the run, so the two can differ. | |
| Largest loss | −$4,748.80 |
| Sharpe | 1.40 |
| Sortino | 1.50 |
| Calmar | 1.46 |
| Trading | |
| Trades | 702 |
| Win rate | 89.6% |
| Profit factor | 1.44 |
| Exposure | 70.0% |
| Assumed costs, included in the figures above | |
| Fill model | Midpoint + 0.05 slippage |
| Commission | $0.65 per contract |
- a Simulated: how this strategy would have performed on historical data. Not a prediction of future results.
- b The drawdown band on the chart uses the chart's own points. Max drawdown is the engine's figure, from every point of the run, so the two can differ.
The title is the publisher's own words. The figures come from the run and were frozen when it was published. This page does not show the strategy, its rules, the individual trades or the fills.