The Portfolio
Four strategies, run together. Four years, every drawdown shown.
Momentum I, Momentum II, Range and Reversal, traded together as one Portfolio of defined-risk 0DTE SPX spreads.
| Momentum I | Momentum II | Range | Reversal | |
|---|---|---|---|---|
| Portfolio Full | 100 | 100 | 100 | 50 |
| Portfolio Half | 50 | 50 | 50 | 25 |
| Portfolio Quarter | 25 | 25 | 25 | 15 |
· hypothetical / backtested
Total P&L
Max drawdown
Worst single day
Profit factor, per trade
Winning months
Trades
Cumulative P&L, with its drawdown underneath
The two panels are one figure on purpose: every rise on top is shown with the fall below it that came with it. Hover or tap for any session.
— cumulative P&L and drawdown from peak · hypothetical / backtested
· sessions · dollars, 1 contract per leg
- Cumulative P&L
- Drawdown from running peak
Month by month
— monthly P&L · hypothetical / backtested
48 calendar months, May 2022 to April 2026
- Winning month
- Losing month
The three tiers, side by side
Same signals, same days, same rules. Only the distance between each short strike and its long hedge changes. Widths are written in the fixed order Momentum I / Momentum II / Range / Reversal.
Full statistics, all three tiers
Half and Quarter describe margin. Nothing else.
The names tell you roughly how much capital each tier ties up against Full. They do not tell you how much it earns, and they say the opposite of what its risk is.
Return falls less than capital.
Relative risk on margin rises, it doesn't fall. Narrowing a spread cuts the credit collected faster than it cuts the risk taken, so each trade keeps much of its capacity to lose while giving up more of its ability to win.
Quarter is not a small-account tier. The account has to survive the heaviest day, not the average one, which is why every account figure here is the peak margin, not the average. Is this for you? →
Four strategies that don't lose at the same time
— worst peak-to-trough drawdown, each strategy alone vs the Portfolio · hypothetical / backtested
Dollars. Each strategy measured on its own, over the sessions it traded.
Two engines trade with a move, one fades it, and one needs the market to stand still. When one is in its worst stretch, the others are usually not. That is the quantitative case for running all four rather than picking one.
The four strategies, one by one
Each engine has its own page: exactly how its trades are built — the delta, the stop, the hedge — and its full record at all three tiers. Figures on the cards follow the tier selected above.
Against the index
Portfolio figures are hypothetical / backtested. SPY figures are actual index total returns over the same window. Measured as in the benchmark study: the account is the tier's peak daily margin, with T-bill interest credited on it.
Every figure against SPY and QQQ, in-sample and out-of-sample.
The full comparison with SPY and QQQ →Since 1 May 2026
The system has been developed with data up to April 2026. The validation period is running since 1 May 2026 and confirms the findings. Its results since then — day by day, for each strategy and the Portfolio, the losing days included — are posted and explained in the members' Discord. You don't have to pay to see it. Start the free trial and it's all there.
- Daily results, per strategy and for the Portfolio
- The losing days, written up
- Questions answered in the open
Assumptions behind every number on this page
- $1.20 commission per leg.
- Fills modelled from 1-minute quote data.
- Backtest settled on the SPX official close.
- One contract per leg throughout. Nothing is reinvested and position size never grows with the account.
How the figures are calculated
- Margin and account size
- Capital at risk on a spread is (width − credit) × 100. Put-side and call-side risk are netted across the Portfolio at every instant. Each session contributes its intraday peak; "peak daily margin" is the largest of those over four years, and is the account size every percentage on this page is measured against.
- Return on peak margin (CAGR)
- The growth rate of an account sized to the peak margin, trading a fixed size. Not a compounding result. No interest on the cash held for margin is credited, which is why it is lower than the figure in the benchmark study.
- Sharpe and Sortino
- Mean daily P&L over its standard deviation (Sortino: over losing days only), annualised by √252, counting every trading day in the window, days without a trade included. The same figure as on The performance page, where it is measured as the return above 3-month T-bills.
- Profit factor
- Gross profit divided by gross loss, per trade, per session and per month.
- Drawdown
- Distance of cumulative P&L below its running peak, measured at each session's close.
Figures as of .