📅 Friday, August 22, 2025
📌 Status: No trades opened
Instead of trading today, I focused on researching the performance of a 0/7 DTE double calendar strategy — specifically entering trades on Fridays, using same-day expiration (0 DTE) for the short legs and the following Friday (7 DTE) for the long legs.
Below is the performance summary from the past one year of backtesting:
📊 0/7 DTE Backtest Results (Aug 22, 2024 – Aug 21, 2025)
| Metric | Value |
|---|---|
| Starting Capital | $50,000 |
| Ending Capital | $40,209 |
| P/L | –$9,791 |
| CAGR | –19.6% |
| Max Drawdown | –34.2% |
| MAR Ratio | –0.6 |
| Win Percentage | 49.5% |
| Avg Per Trade | –$7 / lot |
| Avg Winner | $359 / lot |
| Avg Loser | –$365 / lot |
| Max Winner | $2,061 / lot |
| Max Loser | –$1,334 / lot |
| Total Trades | 93 |
| Winning Trades | 46 |
| Avg Time in Trade | ~5 hours (301 minutes) |
🧠 Takeaways
- The nearly 50% win rate seems promising on paper, but the drawdown and negative expectancy are a concern.
- A few large losers wiped out several moderate winners, highlighting the need for tighter stop-loss or delta-based exit filters.
- The best trades made over $2,000 per lot, suggesting the strategy has potential — but requires better filtering and perhaps time-based entry refinement (e.g., post 10 AM rather than market open).
- The –34.2% drawdown would be hard to tolerate psychologically or operationally without strict controls.
✅ Recap
- Day: 40
- Trades Opened: 0
- Activity: 0/7 DTE backtest review
- Focus: Strategy refinement, risk controls
⚠️ Disclaimer
This blog is for educational and documentation purposes only. It reflects my personal trading journey and is not financial advice. Options trading involves significant risk and is not suitable for all investors. Strategies discussed may not be appropriate for your situation. Past performance does not guarantee future results. Please do your own research or consult with a licensed financial advisor before making any investment decisions.