BACKTEST CASE STUDY · 2012–2026 (14 YEARS) · QUANTCONNECT SPXW MINUTE

SPX 7-DTE Put Credit Spread

The "Hold the Breach Overnight" Strategy

A weekly 10-delta bull put credit spread on SPX, gated by the 200-day SMA. The refinement: when the short strike is breached at the close, don't cut it — hold overnight and exit next morning only if still breached. Most shallow breaches recover by the open. Now extended to the full 14-year window, 2012–2026.

TOTAL P&L

$140.0k

on $12.5k deployed · 14 yrs

WIN RATE

91.1%

705 weekly trades

MAX DRAWDOWN

−9.3%

of deployed equity

CAGR

6.24%

on full account base

How to read it. Capital base is the $12,500 at-risk sleeve (5 contracts × 25-wide × $100), never exceeded, held with reserve behind it. Every figure ties to the QuantConnect per-trade ledger on honest combo fills with real $0.65/contract fees. 14-year window spans three corrections, two bears, and the 2018 Volmageddon — all included.

The Equity Curve

cumulative account value, honest fills — overnight-hold vs owning SPX/SPY over 14 years

Account value — $25,000 starting capital, all lines

Total account value, all starting at $25,000 on the same date (Jan 2012). Strategy: $25k account (5 contracts, no compounding, profits banked). Benchmarks: $25k bought-and-held in SPX / SPY through Jun 2026.

Overnight-Hold → $165k SPX buy-hold → $117k SPY buy-hold → $129k (w/ div)

Risk-Adjusted Comparison

honest frame — return, drawdown, win rate side by side, full 14 years

CONFIG	TOTAL P&L	WIN RATE	MAX DD	TRADES
Overnight-Hold (25w)	$140,049	91.1%	−9.3%	705
Daily-Close @3:50 (25w)	$126,476	93.2%	−6.0%	543
Width 40 × 3ct	$128,147	94.6%	−6.8%	542
SPX buy-hold $25k	~$92,000	—	−34%*	—

Three honest exits compared on the same 14 years. Overnight-hold leads on raw profit; daily-close and 40-wide give up ~$12–14k for a third less drawdown — a real capital-preservation tradeoff, not a free lunch. *Index drawdown spans the 2022 bear.

Year by Year

honest fills — on $12,500 deployed, every year 2012–2026

YEAR	NET P&L	WIN%	TRADES	WHAT HAPPENED
2012	+$8,932	76%	86	recovery year
2013	+$10,428	100%	70	strong bull
2014	−$6,104	73%	59	choppy, two down stretches
2015	−$2,862	90%	42	flat/correction
2016	+$14,868	98%	42	post-correction bull
2017	+$12,142	98%	51	low-vol grind
2018	−$150	85%	41	Volmageddon + Q4 selloff
2019	+$13,719	95%	58	strong bull
2020	+$1,245	95%	37	COVID year, gate active
2021	+$8,890	96%	49	strong bull
2022	−$1,089	89%	9	bear — gate sat out (SPY −18%)
2023	+$27,032	96%	47	recovery captured
2024	+$23,802	96%	51	strong bull
2025	+$24,350	98%	42	bull, brief dip
2026*	+$4,842	95%	21	partial (thru Jun)
TOTAL	+$140,049	91.1%	705

The 200-SMA gate cut 2022 to just 9 trades — sitting out the bear is the core capital-preservation feature. Two down years (2014, 2015) and the 2018 Volmageddon are included and survived. The bulk of profit comes from the 2023–2025 bull, as expected for a regime-gated premium seller.

How To Trade This

the exact mechanical rules — this is the deliverable

SPX Weekly Put Credit Spread — Overnight-Hold

$12.5k deployed · reserve behind · defined risk

Cadence & regime gate

Every Friday, midday — only trade if SPX is above its 200-day SMA of daily closes. Below the line → sit out.

Open the spread

Sell a 25-wide bull put credit spread expiring the following Friday (7 DTE): short put ~0.10 delta, long put 25 points below. 5 contracts.

Size to risk

Max risk = (25 − credit) × 100 × 5 ≈ $12,500. That is the at-risk sleeve; hold equal reserve behind it.

Let healthy spreads expire

If SPX finishes ≥2% above the short strike, let it expire worthless and keep full credit.

Breach: hold overnight

If the short is touched at session close, do NOT close at 3:30. Hold overnight; close next morning only if still breached. Shallow breaches recover by the open. This is the edge.

No stop-loss. No adjustments.

Do not add a credit-multiple stop (proven to cut winners that recover). Do not roll or hedge on breach. Let the 25-wide width cap the worst case.

Know the risk. This sells premium — structurally short volatility. It prints in calm uptrends and gives back in fast selloffs. The 25-wide width caps each trade and the 200-SMA gate keeps you mostly out of bears, but a deep gap-down can take a single week near the full $12,500 sleeve (worst weeks: −$12,478 Feb 2018 Volmageddon, −$11,878 May 2021). Max drawdown −9.3% of deployed equity across 14 years. Only 0.4% of trades (2 in 705) were full max-losses. Its case is heavy income on a small, defined-risk sleeve. Full-history 2012–2026; the gate sat out the 2022 bear and 2015 correction by design.

Tested & Rejected

one labeled variable at a time — failures kept honest

TEST	IDEA	VERDICT
Overnight-Hold	Hold breach to next open	Baseline $140k / 91% / −9.3%
Daily-Close @3:50	Cut breach at the close	Valid smoother, −$13.6k
Width 40 / 50	Wider spread	Neutral less profit, smoother
Stop 300%	Close at 3× credit loss	Rejected killed 175 winners
Buffer 1%	Tighter expiry buffer	Rejected no-op on losers
Close −1 day	Exit a day early	Rejected losers recover into expiry
14 DTE	Longer hold	Rejected worse, fewer trades
45 DTE / 0.375Δ	QQQ-style on SPX	Rejected didn't travel (+$6.5k)

Generated from SPX 7-DTE runs on QuantConnect · SPXW minute data, 2012–2026 (14 years) · All figures tie to the per-trade ledger to the dollar · Honest combo fills, $0.65/contract · Index benchmarks from real S&P 500 / SPY data · Not investment advice; backtested results.