Intraday Options Backtester

Same-day open/close strategies ranked by consistent daily profitability · 60 trading days · 5m bars

⚠ Read this first — what these numbers are (and aren't)

Free historical option prices don't exist, so options here are modeled with Black-Scholes on real intraday underlying data, with implied vol anchored to the live VIX level (SPY ≈ 19%, scaled up per symbol). Fills, slippage, and fees are modeled — these are not real market quotes. Treat results as good for ranking strategies against each other, approximate for absolute dollars, and never as a promise of future profit. Past-window edges routinely vanish live.

📖 How to read this page (click to collapse)

The golden rule: a big $/day means nothing if Max DD (max drawdown — the worst peak-to-trough loss) is bigger than the account. That's a strategy that “made money” on paper but blew up first.
$/day vs %/day: dollars favor bigger accounts; %/day (return on the account) compares $100 / $500 / $1,000 fairly.
Win = share of days that finished green. Sharpe = consistency (higher = steadier, not lumpy). PF (profit factor) = $ won ÷ $ lost (>1 = profitable). n = number of trades (small n = treat as noise).
Flags: cash-OK = tradeable in a cash account; spread = needs spread/Level-3 approval; over $1k = doesn't fit the account; low-n = too few trades to trust.
Lotto vs Directional: both buy a single call/put. Directional buys at-the-money (~50/50, moves dollar-for-dollar). Lotto buys out-of-the-money — cheaper, higher payoff, lower win rate (a longer-shot bet).
Data: 60 trading days (~3 months) of 5-minute bars, same window for every strategy. Option prices are modeled (no free real option data), so dollars are approximate — best for ranking, not as a profit promise. Tip: click any column header to sort.

The honest “best offer” for a $1k cash account

Finding #1 — no free lunch

Once options are priced at realistic IV, naive long-premium plays (buying calls/puts, straddles, strangles) are break-even to negativeafter theta + slippage. The earlier “profitable straddle” was a mispricing artifact — it disappears at fair IV.

Finding #2 — the edge is in selling

The only broadly out-of-sample-robust edge is selling defined-risk 0DTE credit spreads on SPY/QQQ (76–82% win days). But that needs spread approval— which a cash account doesn't have. So it's the recommendation if you upgrade approval, not today.

Finding #3 — what you can do now

Affordable + cash-legal winners are mostly leveraged directional longs — which is really a bet on market drift (it worked because this sample trended up), not a durable intraday edge. Paper-trade first.CSP/covered calls don't fit $1k (need sub-$10 stock).

Best cash-account-legal config that survived the out-of-sample test

IWM · Long Call / Put (directional 0DTE)signal always · target 75% · stop 40%out-of-sample +$209/day @ 52% win

Caveat: directional longs profit mostly from market drift; high variance; size down and paper-trade.

Strategy playbook — the two to know

The single best config in each camp, distilled from the full search, with trade-level detail.

Best overall — Credit spread

needs spread / Level-3 approval

Instrument: IWM (Russell 2000 ETF) — 0DTE
Strategy: Vertical credit spread (bull-put when leaning up, bear-call when down)
Entry filter: MACD + EMA-cross must agree (skips ~⅔ of days — selective)
Best account: $1,000 · risk ~50% per trade
Per trade: ≈ $440 collateral (2–3 spreads, each ~$3–5 wide)
When to enter: 11:00 AM ET, only on agreement days
When to exit: let it decay to near max profit · stop if down 60% of credit · force-close 3:55 PM

≈ 81% win days · Sharpe 0.78 · worst drawdown −22% · ~$100/day modeled

Best cash-legal — Long call/put (directional)

tradeable today, but NO durable edge

Instrument: IWM — 0DTE
Strategy: Buy 1 ATM call (lean up) or put (lean down)
Best account: $1,000 · risk ~25% per trade
Per trade: ≈ $195 (1–2 contracts ~$115 each)
When to enter: 9:45 AM ET
When to exit: +75% profit · −40% stop · force-close 3:55 PM

≈ 43% win (coin-flip) · Sharpe 0.21 · worst drawdown −52% · ~$30/day modeled

The cash-legal long is shown for completeness — its ~43% win rate is a coin flip; it's a leveraged bet on market direction, not a proven edge. The real edge is the credit spread.

Multi-day swing (held to expiry) — the more trustworthy test

Positions held across days to expiration, on ~2 years of daily data (up to 500 trades). The exit payoff is the real underlying price at expiry — only the entry premium is modeled — so this is far more reliable than the 60-day intraday tests. Green capital = fits a $1k account. Sorted by Ret/DD; click to re-sort.

Sym⇅	Strategy⇅	Hold⇅	Win⇅	Capital/trade⇅	Ret/trade⇅	Ret/DD▼	PF⇅	n⇅
SPY	Iron Condor (0DTE)	1d	75%	$339 ✓	19.38%	15.70	2.28	500	spread
SPY	Iron Condor (0DTE)	2d	66%	$261 ✓	26.63%	12.06	2.11	256	spread
QQQ	Vertical Credit Spread (bull put / bear call)	1d	74%	$302 ✓	12.01%	10.67	1.58	500	spread
SPY	Vertical Credit Spread (bull put / bear call)	1d	76%	$361 ✓	12.79%	10.65	1.80	500	spread
QQQ	Iron Condor (0DTE)	1d	62%	$263 ✓	14.71%	10.39	1.57	500	spread
QQQ	Vertical Credit Spread (bull put / bear call)	2d	75%	$282 ✓	13.95%	7.23	1.60	300	spread
IWM	Iron Condor (0DTE)	7d	43%	$53 ✓	42.11%	6.98	1.88	72	spread
SPY	Vertical Credit Spread (bull put / bear call)	2d	75%	$334 ✓	12.43%	6.41	1.62	299	spread
SPY	Vertical Credit Spread (bull put / bear call)	5d	76%	$305 ✓	12.37%	4.27	1.54	131	spread
QQQ	Vertical Credit Spread (bull put / bear call)	14d	81%	$244 ✓	22.34%	4.25	2.15	52	spread
IWM	Iron Condor (0DTE)	2d	49%	$88 ✓	9.74%	4.01	1.25	251	spread
IWM	Iron Condor (0DTE)	1d	59%	$115 ✓	8.23%	3.36	1.30	500	spread

Premium-selling held to expiry wins 75–90% of the time — the real edge. But credit spreads/iron condors need spread approval, and ETF cash-secured puts need $23k–62k collateral; only cheap-name CSPs and overnight shares fit $1k. Premium selling is “win often, lose big rarely” — the ~2yr window is mostly calm/up.

Out-of-sample survivors (intraday)

Each config tuned on the first 65% of days, then scored on the held-out last 35%. “Robust” = profitable in both windows (resists curve-fitting). 6 of 12 strategy slots produced a robust config. Click headers to sort.

Sym⇅	Strategy⇅	Best params	Train $/day⇅	Test $/day▼	Test win⇅
IWM	Long Call / Put (directional 0DTE)	always · tgt 75% · stop 40%	+$91	+$209	52%	cash-OK
SPY	Long Call / Put (directional 0DTE)	always · tgt 30% · stop 40%	+$25	+$151	71%	cash-OK
QQQ	Vertical Credit Spread (bull put / bear call)	momentum · tgt 75% · stop 100%	+$111	+$95	76%	spread
QQQ	Long Call / Put (directional 0DTE)	always · tgt 50% · stop 40%	+$28	+$57	52%	cash-OK
SPY	Vertical Credit Spread (bull put / bear call)	orb · tgt 50% · stop 60%	+$49	+$29	91%	spread
SPY	Iron Condor (0DTE)	momentum · tgt 75% · stop 40%	+$37	+$6	52%	spread

Run your own backtest

Tweak any parameter and run it live against real intraday data (local only — the public deploy shows the precomputed tables above).

UnderlyingStrategyAccount sizeSignaldirection filterEntry timeExit time (force close)Profit target (50%)of premium basisStop loss (50%)of premium basisIV assumption (1.20× realized)0DTE trades richer than VIX

Buy ATM call (up) or put (down). Pure intraday direction + gamma.

Baseline leaderboard (default params)

Every strategy × symbol × account size at default settings, ranked by a daily-consistency score (daily Sharpe × green-day share × $/day, discounted for small samples + un-affordability + non-cash-legality). Click any column header to re-sort.

#▲	Sym⇅	Strategy⇅	Acct⇅	$/day⇅	%/day⇅	Win⇅	Sharpe⇅	Max DD⇅	Ret/DD⇅	PF⇅	n⇅	Flags
1	QQQ	Vertical Credit Spread (bull put / bear call)	$1,000	+$21	2.1%	77%	0.07	-$1,501	0.84	1.19	60	spread
2	QQQ	Long OTM Call / Put (lotto 0DTE)	$1,000	+$28	2.8%	38%	0.03	-$4,551	0.36	1.07	60	cash-OK
3	QQQ	Vertical Credit Spread (bull put / bear call)	$500	+$6	1.2%	77%	0.05	-$751	0.47	1.11	60	spread
4	IWM	Long Call / Put (directional 0DTE)	$500	+$8	1.7%	40%	0.03	-$2,136	0.23	1.07	60	cash-OK
5	QQQ	Long OTM Call / Put (lotto 0DTE)	$500	+$11	2.1%	38%	0.03	-$2,166	0.29	1.06	60	cash-OK
6	QQQ	Long Call / Put (directional 0DTE)	$200	+$11	5.7%	46%	0.09	-$295	0.42	1.22	11	cash-OK
7	IWM	Long Call / Put (directional 0DTE)	$1,000	+$11	1.1%	40%	0.02	-$4,509	0.15	1.04	60	cash-OK
8	SPY	Long Call / Put (directional 0DTE)	$200	+$2	1.0%	45%	0.02	-$741	0.11	1.04	38	cash-OK
9	QQQ	Vertical Debit Spread (bull call / bear put)	$1,000	+$3	0.3%	48%	0.03	-$532	0.30	1.05	60	spread
10	IWM	Vertical Debit Spread (bull call / bear put)	$1,000	+$4	0.3%	50%	0.02	-$1,083	0.19	1.05	60	spread
11	QQQ	Long Straddle (ATM call+put)	$500	+$3	0.5%	52%	0.01	-$1,182	0.07	1.03	33	cash-OK
12	QQQ	Vertical Debit Spread (bull call / bear put)	$500	+$2	0.4%	50%	0.03	-$150	0.20	1.05	16	spread

Black-Scholes modeled options on real yfinance intraday underlying data + VIX-derived IV. Modeled fills, not real market quotes. Good for relative ranking; approximate $.