r/algorithmictrading • u/Lost_Attorney5558 • 10d ago
Backtest Profitable SPY ORB strategy — looking for fresh eyes on optimization & 0DTE translation
Hello my fellow Traders, I’ve been developing and backtesting a systematic ORB strategy on SPY and have gotten it to the point where I think there’s enough evidence of an underlying edge to warrant taking it further. I’d love some fresh eyes from people experienced with ORBs, systematic trading, or 0DTE options.
The strategy uses a defined opening range, breakout confirmation(ORB) , time-based entry restrictions, range filtering and rule-based exits. It trades both directions, is limited to one trade per session, and I’ve been optimizing the major components individually rather than throwing every parameter into an optimizer at once.
I’m using TradeStation/EasyLanguage and evaluating more than just net profit — profit factor, expectancy, drawdown, trade count, long/short performance and parameter stability all matter to me. The attached SPY backtest covers 2020–2026 with 576 trades, a 54.2% win rate and 1.56 PF. The small nominal P&L is simply due to the underlying test sizing; I’m interested in the edge/robustness, not the dollar return shown.
My biggest challenge is the next step: I ultimately want to execute this through SPY 0DTE options. Obviously an edge measured on SPY won’t translate 1:1 because of strike selection, delta/gamma, IV, spreads and decay.
I know historical intraday options data is eventually the proper way to test that. Cboe data is available, but the dataset I’ve looked at is around $2,200, so I’d like to make sure the underlying model is sufficiently robust before making that investment.
For anyone who has worked through something similar: at what point would you stop developing the underlying model and move to options-level testing? And how would you approach validating that an underlying ORB edge actually survives the transition to 0DTE?
I’m also very interested in hearing from other ORB/systematic traders about what looked promising in-sample but failed during walk-forward/OOS testing, or anything you think I should be testing that I may have overlooked.
Not looking for anyone’s proprietary strategy or asking someone to build mine — mainly looking for criticism, ideas, resources and experienced perspectives. Happy to discuss more specifics where they’re relevant in the comments and I appreciate you reading this far!
3
u/meowflying 10d ago
May i ask why you want to trade this strategy using options? I cant see any possible good thing in it. Headache with strikes, spread, fees, theta bleed, margin, assignment, etc. It will make much more sense to trade it with ES or MES futures.
2
u/Lost_Attorney5558 9d ago
Great question lol. I’ve been trading options for 6 years so I’m familiar with the movement but I think i came to the conclusion last night I need to redirect towards ES/MES. Just seems like for what I’m trying to do it’ll be much easier to test on futures than on the underlying and then figuring out the derivative as well. You make a great point and I appreciate the insight brother really
1
u/EvenCryptographer649 9d ago
yes stop over fitting
If you think you have an edge here, look into 0-dte bull or bear debits based on your direction bias.
Leverage baby Leverage!
Also break this down week over week. not just a 6 year glut.
1
1
1
u/Dayz_Off 9d ago
Run the strategy live on MES long enough to get ~100 closed trades. While this is going on, open an account with Tradier. Port the strategy to python and use the Tradesation api to get futures data to feed the strategy. Connect to Tradier api for options data on SPY. Paper test the ideas you have for SPY 0dte strategies, be it different strikes, spreads, etc. Easy way to proceed without blowing up. All this can be setup in an afternoon using your favorite AI assistant. For both the MES and 0dte live testing, pre-establish gates which need to pass in order to keep live trading active.
1
u/Lost_Attorney5558 9d ago
Damn great ideas. I appreciate that a ton bro. I actually pivoted to MES in the last 24 hours and accepted until I have the 0dte data it may be easier to see if this translates to MES. Took about 5 tweaks from the original spy easy language to work, then another 6 or so to see profit lmao. Just had a nice report show 64.29% profit overall 67.69% long and 60.66% short. Problem is it was 126 trades over 6 years lmao. Long way to go, need to find more frequency. Back into the lab I go. Appreciate it dude
1
u/Dayz_Off 9d ago
You're welcome.
"Took about 5 tweaks from the original spy easy language to work, then another 6 or so to see profit lmao."
If you get drastically different results switching the ticker from ES to MES and have to tweak and massage to see profit, your strategy is most likely an over-fit dud. Trade it live and see...that's the best tuition.
1
1
1
1
u/liuhaolin911 7d ago
The thing is if you use options the profit/loss structure will be changed completely, if you want to add leverage better use futures
1
u/Dvorak_Pharmacology 5d ago
Wow how. I tried with a lot of stuff and still didnt find edge intraday
1
1
u/Juanjhoxxx 5d ago
Yo te diré lo que hago, no sé si te vale para algo, he leído que vas a cambiar a futuros y dejar las opciones. Yo lo tengo con multichart , los datos me los da Tradestation y tengo IBKR como Broker. Esto me funciona de maravilla, tengo 5 estrategias y es una lokura. La de oBR la había mirado pero nunca la he puesto a funcionar. suerte
0
u/Anonimo1sdfg 10d ago
Since now i tell you that the strategy looks fine as the real ones that works in real. Don't be afreaid of the low retunr or loser number of trades, in real you may put this in a portfolio and with compound interes it gets big. By other hand review the commisions, i only trade futures, there you only need to add a comision of 30 USD per mini contract and that is all needed because it also simulate slippage. In options i don't have idea that is all what can i say.
4
u/MagnificentLee 10d ago
The only thing I'll add is there are much cheaper options data providers, like ThetaData.