Following up on my previous post.

TL;DR: I tested the best strategy by daily win rate from the previous post (a symmetric 20Δ short strangle) across multiple take-profit levels. Surprisingly, 50% take profit struck the best balance between win rate, average P&L, and tail risk. That said, even the “best” strategy can spend 100+ days underwater. And as events like Liberation Day show, if risk isn’t managed with stop-losses, long wings, or other protection, years of profits if not the whole account can vanish in a single session.

Method

• Underlying: SPX 0DTE, daily-expiration era
• Strategy: Short strangle, symmetric, 20 delta
• Entry: 9:31 ET
• Management: Take profit at 10%, 25%, 50%, 75% of premium + no management
• Costs: No slippage, no commissions/fees
• Metrics: Daily Win Rate, Avg P&L/Day (USD), Daily CVaR (USD = average of worst 5% days)

Results

Backtesting 20 delta strangle with various TP levels

Takeaways

• Even a simplistic mechanical rule, like exit at fixed profit targets, dramatically improves results. Compare “No TP” with 50% TP: same entry, same strikes, but vastly better returns and lower tail risk.
• Intraday losses matter (a lot). 50% TP strategy saw a drawdown of >$17k on Liberation Day before the trade recovered. Personally, I doubt I’d have the conviction to hold through that.
• 50% take profit stands out: highest average daily P&L while meaningfully reducing tail risk compared to no management.
• Lower TP levels (10–25%) push win rate close to 100%, but average returns shrink.
• Managing risk is what ultimately decides survival: extended drawdowns and extreme events remain unavoidable. Stop-losses, hedges, or wings are essential to avoid giving it all back in one day.

What area of optimization would you find most useful to see next: stop-loss rules, hedging with long wings, or alternative entry timings/rules? Any additional metrics?