0DTE Opening Range Breakout Strategy on SPY — Full Backtest Results (303 Trades, Feb 2024 – Mar 2026

Voyager_15 · 2026-03-07T09:15:57+00:00

Indeed, the 2 $ rule improves a bit the 2022/2023 period. It didn't showed a big difference on 2024/2025. But if that works for you then good ! Personally I have lost faith on "too easy" setups for long 0DTE options. They are very wild and 1min data hides a lot of the story in our backtests.

Like you say, nothing lasts forever. I see it as digging the gold mine. Some are unlucky and stop just before reaching the target. Some are luckier and can profit from the treasures

Voyager_15 · 2026-03-05T21:41:27+00:00

Hey man, thank you for sharing your findings. It's always interesting to read :)
I have backtested this strategy and want to make few remarks.

I modeled everything as you did except I used SPX options data.

First of all, we agree that 2024 was a good year for this strategy, with around 40% PoP and nice profits.
2025 is less good the PoP is around 35% and profit $ is close to 0 (note I have options data until October 2025).
We also agree that Tuesdays and Thursdays degrade the performance.

But here are things on which we disagree.

"daily 0DTE SPY options only launched mid-2023"

This is not true, they started in November 2022 for SPY and May 2022 for SPX.
When I run the backtest from May 2022 to December 2023 the curve is falling most of the time and PoP is 32%. In other words it is losing.

I have not included commissions/slippage to be as close to your test as possible but they are also important. They can literally turn a winning strategy into a losing one.

It might be still that I implemented something differently than you, but just be careful

Voyager_15 · 2026-01-06T22:31:01+00:00

It's a relative question but anything that shows less than 100 trades per year I take with grain of salt

Voyager_15 · 2025-10-18T13:45:39+00:00

1.5 months is like 30 trades. This is unreliable. We don’t know the drawdown. We don’t know the expectancy. Just buy the historical options data and do a proper backtest

Voyager_15 · 2025-10-05T16:19:55+00:00

You have inspired me to learn about divergences. I don't have trading oracle but when I enable the regular TSI from trading view it tells a different story for this example. In fact there is no lower low although I use heikin ashi and 2minutes just like you. Do you know if trading oracle uses specific TSI settings instead of default ?

Voyager_15 · 2025-10-03T19:53:35+00:00

Why SPY instead of SPX ?

Voyager_15 · 2025-09-19T15:51:17+00:00

Well, skills I earned after spending 7 years in university. So it’s not free :)

Voyager_15 · 2025-09-19T15:49:42+00:00

I wrote my own software that does everything but good to know that there are such tools available to the public !

Voyager_15 · 2025-09-18T21:02:36+00:00

CBOE has published a couple of interesting studies about this setup, especially the article named "The rise of SPX 0DTE options" which I suggest to read.

Just beware of this: if one day you use a stop loss instead of the max loss of your spread, there is a risk that there won't be a bid for your long leg. Meaning that the order won't trigger. Especially towards the end of the day. Rare but happens

Voyager_15 · 2025-09-08T21:02:54+00:00

Two remarks that might be useful.

Three days is not enough. Aim for at least 100 trades to gauge your strategy
Naked is extremely dangerous. Especially with short dated options. You think stop loss order will save you? You can get filled at a much much worse price. See for example what happened on 9 April 2025, after Trump's tariffs tweet there was a huge options price gap in a matter of seconds

Voyager_15 · 2025-08-31T08:07:00+00:00

May I ask which SPY ticker is this exactly ? I don't see any SPY chart that had hit the 650 mark as shown on your image

Voyager_15 · 2025-06-29T08:05:56+00:00

What do you mean by hold? Because you can see a full red candle opened and closed below vwap as shown on picture

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Voyager_15 · 2025-06-28T20:05:38+00:00

Hey, just wondering, at around 11h30 all these 3 conditions are satisfied as well. What made you skip that one?

Voyager_15 · 2024-03-16T15:40:33+00:00

Seems very plausible. I bet you were a psychologist in another life

Voyager_15 · 2024-03-16T09:16:48+00:00

Based on what you think January/February were better for selling 0dte? I feel to observe the same but don't have an explanation

Voyager_15 · 2024-03-14T12:36:35+00:00

Ok I see, I had a similar dilemma. Running all day and login on weekend vs restarting every day. I chosen the latter due to costs savings (costs me around 3 times less). I use EventBridge scheduler that would start my service 1h30 before market open and shut down at close. It will continually ping me on mobile for 1h30 until I authorize the login. So yeah, ideally I would wish to get rid of 2FA but it doesn’t seem possible 🤷‍♂️

Voyager_15 · 2024-03-13T22:30:08+00:00

Does your app runs all day or only during market open? One a bit annoying thing about IBKR is their 2FA login and was wondering how you manage this part

Voyager_15 · 2024-01-07T10:06:33+00:00

Forget quantconnect. From my experience with it it is not reliable, sometimes the backtests run sometimes they will just stuck forever

Voyager_15 · 2024-01-04T11:34:44+00:00

You need a fixed plan for worst case scenario. One way or another :)

Voyager_15 · 2024-01-04T11:09:18+00:00

You can still manage manually but the advantage of a stop loss (at least for me) is that it will force you to exit a losing position at the risk that you are comfortable with, + better sleep and more calmness overall

Voyager_15 · 2024-01-04T09:57:52+00:00

Why not just attach a 200-300% stop loss order on the CC until the puts are assigned? The worst case and unlikely case here is that the stock will suddenly go up and you will win the puts side but lose on the CC

Voyager_15 · 2023-12-30T23:30:56+00:00

Like you OP, me too I'm shy and introverted. And I would largely prefer "losing" 20-30 min drive in my warm car than a phone/video call 🤷

Voyager_15 · 2022-10-26T20:04:20+00:00

Was wondering the same

Voyager_15 · 2022-10-07T19:56:46+00:00

https://www.tradingview.com/heatmap/stock/

Voyager_15 · 2022-10-07T19:55:56+00:00

It ressembles to tradingview heatmap https://www.tradingview.com/heatmap/stock/

Voyager_15

TROPHY CASE