Per-strategy performance
Twelve distinct strategy variants were tested. Here is each one's full record, sorted by total P/L.
Summary table
Sorted by total P/L (best at top). All P/L figures are in dollars per spread, before slippage and commissions. Five anomalous-credit trades from 2026-03-20 have been excluded (see the Caveats page).
| Strategy | Trades | Win % | Total P/L | Avg P/L | Avg Winner | Avg Loser | Best | Worst | Expired |
|---|
Total P/L by strategy
Notes on each strategy
Iron Fly V1 — +$44.48 / 72 trades / 72.2% WR
The best risk-adjusted strategy in the dataset. The worst single trade is only −$4.25 — no fat-tail loss anywhere across 72 trades. Highest profit pool of any single strategy variant. All trades land in the same +30m bucket. Profit factor 3.17, Calmar ratio 7.6.
Iron Fly V2 — +$36.61 / 70 trades / 57.1% WR
Lower win rate than V1 but tightest worst-trade in the entire book at −$2.50. Average winner is larger than V1 which compensates for the lower hit rate. Same +30m slot as V1.
Iron Fly V3 — +$21.36 / 66 trades / 63.6% WR
Profitable but carries meaningfully more tail risk than V1/V2. Worst trade at −$18.80. Enters at +60m after open rather than +30m, and that later slot has historically had wider intraday moves to absorb.
Dynamic 0DTE — +$19.88 / 41 trades / 80.5% WR
Highest win rate of the Iron Fly family-adjacent strategies. Adapts between Iron Condor and Iron Fly based on the first 30 minutes of price action. Smallest sample size of the profitable strategies — only began trading in March 2026. Worst trade at −$15.92 — meaningfully more tail risk than V1/V2.
Iron Fly V4 — +$11.31 / 64 trades / 54.7% WR
Weakest of the Iron Fly family on both win rate and total profit. Worst trade at −$19.65. Same +60m slot as V3.
30 Delta IC — −$43.51 / 172 trades / 73.3% WR
Largest sample of any strategy. Solid win rate but the average loser (−$6.55) is more than 3x the average winner ($2.05). The strategy died of accumulated time-stop losses on losing days. Retired at end of March 2026.
20 Delta IC — −$50.33 / 149 trades / 89.9% WR
The textbook high-win-rate / fat-tail problem. 89.9% of trades win, but the average loser (−$15.08) is more than 11x the average winner ($1.31). A single −$35.35 trade wiped out the gains of about 30 winners. Retired at end of March 2026.
Gap Filter 20D — −$60.56 / 18 trades / 83.3% WR
Worst per-trade loss profile in the entire book at −$3.36 average. The strategy was supposed to filter the days with high tail risk and instead carries the worst single losses (−$33.15 and −$35.20). The filter logic warrants re-examination.
Monthly P/L by strategy
Where each strategy's profit and loss came from over the research period.
March 2026 was the standout month for the Iron Fly family and Dynamic 0DTE — and was simultaneously the worst month for the Delta IC strategies and Gap Filter 20D. The contribution of one strong month is a recurring theme across the analysis.