Backtest 0 DTE Bull Put Spread Width Comparison

Was doing a lot of testing runs on OptionOmega on 0 DTE because it's just so fast and simple to run them. So I thought I'd quickly journal down some of these so they don't get wasted.

This is just a quick test comparison between 30 wide vs 15 wide. To set the context, these are the mechanics. Do note that I'll be changing width and the exit condition (stoploss %) for this comparison.

So first thing to change and compare, 30 wide vs 15 wide with 100% stop loss.  To align the view, on the left it will always be 30 wide and on the right it will be 15 wide.

It's interesting to see that the 15 wide performed much better in terms of profit value because it compounds more due to double the number of contracts than 30 wide.

Another interesting information we get here is, on 100% stoploss the 15 wide one had much lower drawdown on the capital chart.  So let's try changing the stop loss to further find out how does it affect.

All else remains the same, I'm only changing the stoploss to 150% and 200%.

Once we increase the stoploss, we see much bigger drawdown on the 15 wide. So it seems a lower stoploss % prevented some big crash losses. While in the 30 wide, it doesn't affect as much.

So it seems 15 wide does has some benefits compared to 30 wide. Not sure what else needs to be considered, I'll leave it here for now. Until I have more ideas, I'll continue to explore more.

Bonus

Just to throw in this bonus really because OptionOmega is so fast in running these tests.

So the natural question that comes is, what about changing the delta. Why not try it since its so fast. So all else remains, I changed delta to 12. Stoploss 100% since it's the better performing one.

The result looks exponential.

Not concluding anything here, just some quick test runs and capturing the result for comparison. Let's digest it first and continue to explore.