Filtered by:(click a point in Risk vs return to filter; click again or ✕ to clear)
Structure
Width
Target
Trades
Win %
Avg P/L
Total P/L
CVaR
Sharpe
Max DD
Avg Credit
Avg Δ
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How to read this page
Model-based results — not real fills.
Each row is one strategy configuration evaluated over the real 2-year
SPX and VIX daily price history, but the option prices are
theoretical Black-Scholes values (VIX used as the
implied-vol input), and the intraday path used to decide whether a stop
or profit target was hit is a Monte-Carlo simulation
pinned to each day's real open and close. There are
no real executed trades, bid/ask spreads, or historical option
quotes behind these numbers. Because VIX under-prices 0DTE
risk and the simulated path is smoother than real 0DTE gamma moves,
treat the figures as a way to rank and compare
configurations, not as a proven track record. Trust the
relative and repeatedly-robust findings over the exact dollars.
Columns
Structure
Trade type: PCS put credit spread, CCS call credit spread, IC iron condor.
Width
Distance in points between the short and long strikes ($10–$60).
Target
Profit target as a % of the credit collected (e.g. 50%), or expiry = held to settlement.
Trades
Number of simulated trades aggregated (days × intraday entries × Monte-Carlo paths). Not independent samples — many paths share one real day.
Win %
Share of closed trades that finished positive. High win rate is normal for credit spreads and misleading alone — small wins, occasional large losses.
Avg P/L
Mean dollars per trade after modeled costs. The number that matters most — can be negative even at 85% win rate.
Total P/L
Sum across all simulated trades. Scales with trade count; not comparable across runs of different size.
CVaR
Conditional Value-at-Risk (95%): average P/L of the worst 5% of trades — your tail-risk / "how bad is a bad day."
Sharpe
Annualized risk-adjusted daily return. Use to rank configs; the absolute value is inflated by the smooth simulated path.
Max DD
Maximum peak-to-trough drop of the cumulative equity within the simulation.
Avg Credit
Mean modeled credit collected at entry (theoretical, not a real fill).
Avg Δ
Average delta of the short strike at entry (~0.25 target) — a proxy for how far out-of-the-money the spread is sold.
Charts
Avg P/L by configuration
Distribution of expected value across all configs (green = positive model EV, red = negative). Sorted ascending.
Risk vs return
Each point is one config: x = CVaR (downside), y = Avg P/L, bubble size ≈ trade count, color = structure. Upper-right is good (high return, small tail); lower-left is the trap. Click a point to filter the table by that strategy.
KPI strip
Highlights the single best configuration in the run, ranked by Sharpe.