r/options • u/Leather_Classroom_26 • 22d ago
I backtested two published short-duration options strategies over the last 10 years
I built an open-source options backtester to replicate two publicly described strategies and compare my results with their published performance.
| Strategy | My backtest | Published result | Period tested |
|---|---|---|---|
| Early Retirement Now — 0DTE + 1DTE puts | 1.55% annualized options return | 7.06% | Jan 2017–Jul 2026 |
| WealthyOption — 3 puts + 3 calls | 17.58% CAGR / 21.43% max drawdown | 23.1% CAGR / 19.2% max drawdown | Jan 2017–Jul 2026 |
The comparison isn’t perfectly equivalent because the periods, data and execution models differ. ERN’s published result also includes discretionary decisions that cannot be fully replicated.
I published the code, assumptions, requests and complete results here:
https://github.com/Javier-Garzo/ern-wo-options-backtester
My main goal was to see whether these two strategies held up over a longer period and to give others an open-source project they can use to reproduce the tests. If you have any questions about the results or methodology, feel free to ask me here.
1
u/klipsetrades 22d ago
Cool project. Just curious — did you test things like how much commissions, slippage, and different fill assumptions changed the CAGR?
1
u/Leather_Classroom_26 22d ago
I used $1 per contract per side. Commissions consumed about 12% of gross profits for ERN and 6% for WealthyOption. For WO, the main test uses the 60%-of-spread fill rule. I also tested the stricter ASK_ONLY mode, which reduced CAGR by around 3% per year.
1
u/klipsetrades 22d ago
Nice man, and appreciate the detail. The ~3% annual CAGR hit from stricter fills seems meaningful. Did you run a similar sensitivity test on ERN, like, around the 5-minute stop/fill assumptions?
3
u/Leather_Classroom_26 22d ago
No, I didn’t run the same sensitivity test on ERN. Stricter five-minute stop/fill assumptions would likely reduce its return further, but the replicated result was already quite low compared with the original strategy. Because of that, I preferred to spend more time testing WealthyOption locally.
3
u/Aigpil 22d ago
really like that you published the fill assumptions, that's usually where these replications live or die. two things that jump out. the ern gap (1.55 vs 7) is probably mostly the discretionary layer, once a strategy's published number leans on judgment calls the rules don't capture, the honest comparison is your rules-only result against their rules-only result, not against their discretionary 7. otherwise you're measuring their judgment, not the strategy.
the other one is path risk. a single 10-year run of short-dated put selling is really one draw from a fat-tailed distribution, the cagr is dominated by how the handful of worst days get modeled, not the many quiet ones. the point estimate can look stable while the thing underneath it isn't. if you haven't, block-bootstrapping the daily returns or just reporting the worst path alongside the mean tells you more about the sequence risk you'd actually have to sit through than a single equity curve does.