0 DTE Backtest - Entry Timing 3

This is basically a continuation of more refinement to the previous few 0 DTE Backtest on Entry Timing I did. You can find them here - https://www.vocsong.com/tag/backtest/

My objective is to continue to find more consistency. So this set is focused on 40-50 wide with most of the other configuration pretty much the same as previous. Please refer to previous post, I shall not repeat.

So above is a sample configuration for reference. Since I'm doing more refinement, this time I'm running 15 minutes interval for even more granularity. Yes it's gonna take more time running so many runs and compiling. Hope it's worth it.

50 Wide

I think the table is pretty self explanatory. Some additional important data I want to add is the drawdown. The average max drawdown across all timing for:

• Put - 4.81%
• Call - 5.61%

From the table above, mid day does seems not as good performing as market open and last 2.5 hours. This pattern pretty much looks the same as the previous backtest in general.

40 Wide

Average max drawdown across all timing for:

• Put - 6.16%
• Call - 7.45%

Almost a 2% higher max drawdown compared to 50 wide. Similarly, the timing pattern remains similar.

Conclusion

I've done this so many runs and so many times I'm not sure what more to say. I'm open to questions and ideas, feel free to comment below.

After doing this set, what I have in mind is whether to run a recent 3-6 months set on a regular basis to see if there's any seasonal pattern changes. Though this 2 year set gives a pretty high level overall trend pattern.

I do believe this is quite consistent on the intraday stock market pattern of mid day reversal, due to various reasons like London Stock Exchange closing, lunch time in NY. Which seems like something that wouldn't change in future.