How It Works
Platform guide, methodology, and metric definitions.
Contents
Dashboard
The main entry point. Shows a scatter plot of all strategy combinations colored by stop-loss level, a cumulative P&L chart for the selected point, and a heatmap of metric values across entry times and premium/stop levels. Use the filter bar at top to set strategy, timeframe, metric, result type, premium range, stop-loss filter, profit target, and day-of-week.
Technical Analysis
Dedicated trend-analysis view. All scatter points are colored by SMA trend (bullish green / bearish red) instead of stop-loss level. Shows summary cards for bullish, bearish, and total scenario counts.
Multi Strategy
Side-by-side comparison of MEIC and EMA 5-20 strategies using identical filters. Each strategy gets its own row of scatter + P&L + heatmap charts.
Multi Timeframe
Compares the same strategy across multiple date ranges simultaneously: Full History (2023+), 2 Years, 1 Year, and YTD. Each timeframe range gets its own row, allowing visual comparison of performance stability over time.
One Day Zoom
Single-day deep dive showing every strategy combination for a specific date. Uses a date picker instead of a date range. Useful for understanding how a particular market day played out across all parameter sets.
Saved Scenarios
Bookmark specific strategy combinations (strategy + stop + time + premium) from any page using the 'Save Scenario' button. This page shows all saved scenarios in a sortable table with export-to-CSV functionality.
Strategy Scatter Plot
X-axis: entry time. Y-axis: selected metric (Return %, PCR, Calmar, Avg Profit). Each dot is one parameter combination. Color indicates stop-loss level (or trend direction in Technical Analysis). Dot size increases for the currently selected point.
Heatmap
2D grid with entry time on one axis and premium level (MEIC) or stop/target (IF) on the other. Cell color intensity maps to the selected metric value. Click any cell to drill into that combination.
Cumulative P&L Curve
Shows the equity curve for the selected parameter combination over time. Can display as Return (%), Portfolio Value ($), or raw Premium ($). Includes SMA overlay lines (yellow = short SMA, orange = long SMA).
Advanced Performance Summary
A two-column panel of 20+ KPIs including: Total Trades, Win/Loss counts and percentages, Total P&L, Total Credit, Average Win/Loss, PCR, Winning/Losing day stats, Best/Worst days, Consecutive streaks, Max Drawdown %, Max Recovery Days, CAR, and Calmar Ratio.
Period Comparison (Multi Timeframe)
Used in the Multi-Timeframe page. Shows the same metric across different date ranges side by side, making it easy to spot performance degradation or improvement over time.
BYOB Mode (Default)
The engine uses BYOB mode by default to match the original benchmark. Fills are at mid price (not bid/ask). Stops and targets are evaluated on bid-side spread prices. A fixed $0.05/spread per-side slippage is applied post-trade. No exit commission for options expiring OTM.
Entry Times
The time of day the iron condor or iron fly is entered. Common times: 9:33, 9:45, 10:00, 10:30, 11:00. Earlier entries capture more premium but face more intraday volatility. Later entries are safer but collect less premium.
Stop Loss Levels
MEIC uses multiplier stops: 1x, 1.25x, 1.5x, 2x, 3x (relative to premium collected). IF uses fixed dollar stops: $1.00, $1.50, $2.00, $2.50, $3.00, $4.00, $5.00.
Profit Targets
MEIC: 'Expiration' (hold until close) or '50%' (exit when 50% of premium captured). IF: fixed dollar targets ($1.00–$5.00). Multiple targets can be tested simultaneously in batch backtests.
Width
The distance in points between the short and long strikes of each spread. MEIC typically uses 25-point widths. IF uses VIX-based dynamic width (see Key Concepts section).
VIX Regime Filtering
Backtests can be filtered by VIX regime: low, normal, elevated, high, very_high. MEIC optimal: exclude only 'high' (VIX 25–30), keep very_high (extreme premiums are profitable). IF optimal: exclude 'high' and 'very_high' (VIX >= 25).
GEX Filter
Allows only trades whose prior-close GEX spread bucket is Q3 or Q4. It is a risk/context filter for comparing the baseline against the preferred GEX regime.
FOMC Filter
FOMC announcement days introduce extreme volatility with outsized, often negative impact on 0DTE positions. The backtested universe always includes FOMC days (full coverage, no gaps); the platform lets you toggle them out of any view so you can compare results with and without them.
Result Type (Net vs Gross)
Net (ProfitLossAfterSlippage): P&L with slippage deducted, before broker commissions. Select a broker in the adjacent selector to add broker fees on top, producing 'Net <broker>'. Gross (ProfitLoss): raw P&L before any costs. The dashboard defaults to Net for realistic results.
Position sizing assumption
All P&L numbers assume one MEIC unit per trade (4 legs / 2 spreads). For multi-lot position sizing, multiply linearly. Custom lot sizing is not yet supported in v1; planned for a future release.
MEIC (Multiple Entry Iron Condor)
An iron condor entered at several fixed times of day (e.g. 9:33, 9:45, 10:00) on SPX 0DTE options with a target premium and width. Each entry collects premium and profits if SPX stays within the defined range through expiration or until the profit target is hit.
Iron Fly (IF)
An iron butterfly where both short strikes are at the same price (ATM). Uses VIX-based dynamic width. Dollar-based stops and targets instead of multiplier-based. Data available from 2023 onward.
VIX-Based Dynamic Width
For Iron Fly strategies, the wing width is dynamically adjusted based on VIX level at entry time, rather than using a fixed width. Higher VIX means wider wings to accommodate larger expected moves.
Data Resolution (100 ms)
The engine evaluates fills, stops and targets against the historical SPX option quote record at 100-millisecond resolution — not minute bars, not end-of-day snapshots, not interpolation.
Benchmarking & Pure Measurement
Results are measured against an independent external benchmark, with methodology and caveats published. No correction or adjustment factors are applied to P&L — the numbers are pure measurement of the modeled fills.
Win Rate (%)
Percentage of trades that ended with a positive P&L. Formula: (winning_trades / total_trades) × 100. A 65% win rate means 65 out of 100 trades were profitable.
Average P&L
Mean profit or loss per trade in dollars. Formula: total_pl / total_trades. Positive means the strategy is net profitable on average.
Premium Capture Rate (PCR)
Percentage of total collected premium retained as profit. Formula: (total_pl / total_credit) × 100. A PCR of 50% means you kept half of all premium collected across all trades.
Sharpe Ratio
Risk-adjusted return measure. Calculated as annualized return divided by annualized volatility of daily returns. Higher is better. Above 1.0 is generally considered good; above 2.0 is excellent.
Calmar Ratio
Compound Annual Return (CAR) divided by Maximum Drawdown. A Calmar above 1.0 means the annual return exceeds the worst peak-to-trough decline. Higher is better.
Max Drawdown (%)
Largest peak-to-trough decline in equity. Measures the worst-case loss you would have experienced if you entered at the peak and exited at the trough. Lower absolute values are better.
CAR (Compound Annual Return)
Annualized return accounting for compounding. Represents the yearly return if gains were reinvested. Used as the numerator in the Calmar ratio.
Return (%)
Total cumulative return over the backtested period as a percentage of initial capital ($100,000). A 150% return means the portfolio grew from $100k to $250k.
Max Recovery Days
Maximum number of trading days it took to recover from a drawdown back to a new equity high. Longer recovery periods indicate more persistent losing streaks or slow grind-back periods.
Consecutive Wins / Losses
The longest streak of consecutive winning or losing trades. Helps set expectations for how long a losing streak can last. Important for position sizing and psychological preparation.