How the options backtester works

Pick a stock and an options strategy, and see how it would have done, trade by trade, on our own option prices going back to 2015. Then save it, and put the ones you like into a portfolio to see how they do from today on.

Your first backtest in four steps

1. Pick a stockAny optionable US stock or ETF, e.g. SPY, AAPL, NVDA.

2. Pick a strategySell a put, buy a call, an iron condor... or start from one of the ideas at the top of the page.

3. Say when to trade and when to closeEvery week, every month, around earnings, or after a big trade; take profit, stop loss, days held.

4. Run itA few seconds later you see every trade, the total profit, and how it compares with simply owning the stock.

Try it now The backtester is included with Market Chameleon Premium - start a 7-day free trial.

The settings, in plain English

Setting	What it means	Example
Strategy	What you trade. Selling options collects premium (you profit if the stock doesn't move against you); buying options is a bet on a move.	"Sell a put" = get paid now; you may have to buy the stock at the strike.
Days to expiration	How far out the option expires. We pick the expiration nearest your number that we have prices for.	30 = about one month.
Strike (delta)	How far from the stock price the strike is. Delta is roughly the chance the option finishes in the money.	0.30 = about a 30% chance; 0.50 = at the money.
Second leg	For spreads and condors: the protective option, further out. It caps the loss.	Sell a 0.30-delta put, buy a 0.15-delta put.
Open a new trade	When a trade starts: every week, every month, as soon as the last one closes, around each earnings report, or right after a big trade.	"Every week" = the first trading day of each week.
Enter at	The price of the day you trade at: the open (9:45 AM), midday or the close.	Midday entries sometimes get better prices than the close.
Take profit / Stop loss	Close early when the trade has made or lost this share of the premium.	50% take profit on a sold put = close once you've kept half of what you collected.
Days before expiration / Days held	Close a set number of days before expiration, or after a set number of trading days - whichever comes first.	Close 21 days before expiration to avoid the last weeks' risk.
Skip earnings	Don't open a trade that would still be open over an earnings report.	Useful for sellers who don't want the earnings jump.
IV rank	Only trade when implied volatility is high (or low) compared with its past year.	Sell premium only when IV rank is 50 or more.
Fill at	Which price you trade at: the middle of the bid and ask, or the bid / ask (what you'd really pay).	Bid / ask is the conservative choice.
Real fills only	End-of-day prices at the bid / ask, only options that really trade, and an exit waits for a day you could actually trade. Portfolios always use this.	See "Real fills" below.

Four ways to open trades

On a schedule - every week, every month, or back to back (a new trade as soon as the last one closes).
Around earnings - open a set number of trading days before the report and close a set number after. You also see, for every report, the move the options priced in versus the move the stock actually made.
After a big trade - "follow the money": each day's largest call or put trade of $1M+ (or your size) in that stock; we take the same option, on the same side, 15 minutes later, at that day's close, or the next morning. Our big-trade records start in November 2024.

Real fills: prices you could really have traded at

A backtest is only useful if the prices were real. With Real fills on (and always in portfolios):

Trades use the end-of-day price (3:59 PM) - during the day you can't be sure a price would have filled.
You buy at the ask and sell at the bid, never the middle.
Only options with a real market count: both a bid and an ask, a spread no wider than 25% of the price (or 10¢), and open interest of 100+ or at least 10 contracts traded that day.
If a profit target or stop is hit on a day the option couldn't really be traded, the exit waits for the next day it could.
Options held to expiration settle at their value against the stock's price.

Reading the results

The verdict - total profit or loss for one contract per trade, after commissions, and the share of trades that won.
Profit over time - the strategy's running total next to simply owning 100 shares over the same time.
Every trade - one bar per trade, green made money, red lost. Hover for the details.
How trades ended - profit target, stop loss, held to expiration, closed after the report...
Spread of results - how many trades landed in each profit range. Watch for a few big losses wiping out many small wins.
In plain English and What we tested - the summary and the exact rules, so you know what the numbers mean.
Trades - every trade with its dates, strikes, prices and result. Click a column to sort.

Save it, and put it into a portfolio

After a run, name it and press Save backtest. It's under My backtests - load it into the form or run it again on the latest data any time.
Pick a portfolio (or make a new one) and press Add to portfolio. From the next trading day, the same rules run forward on real fills - no hindsight.
Open My portfolios to see the live profit so far, the positions it holds right now, and each strategy's live results next to what its backtest showed.
If a strategy isn't working, Retire it with a reason. Its record stays, so you can see what happened.

You can have as many portfolios as you like - for example one for income strategies, one for earnings trades, one that follows big trades.

Examples from our data

Selling SPY puts every week

Sell a 30-day, 0.30-delta put on SPY every week and take profit at 50%.

3 years (Nov 2023 - Nov 2026): 157 trades, 92% won, +$33,358. With real fills: +$33,393. The catch: a few losses are much bigger than the typical win - check the spread of results.

Buying a straddle into AAPL earnings

Buy the at-the-money straddle the day before each report, sell the day the stock reacts.

12 reports: options priced an average move of 4.0%, the stock moved 2.4% - the straddle lost $3,911. Options tended to over-price AAPL's moves, which favors sellers.

Entering at midday instead of the close

The same weekly SPY puts over 10 years, entered at 12:00 instead of 3:59 PM.

Midday +$33,179 vs the close +$29,233 (first 300 trades). Small timing choices add up.

Following $1M put buys in SPY

Copy each day's largest $1M+ SPY put purchase, 15 minutes later; take profit at 100%, stop at 50%, close after 10 days.

Nov 2024 - Nov 2026: 400 trades copied, 25% won, -$42,960 - many big put buys are hedges, not bets. Following blindly doesn't pay; that's exactly what a backtest is for.

These are what the strategies did on our historical data; they are hypothetical, not predictions or investment advice - see the disclaimer below.

Good to know

Every trade is one contract per leg (covered calls: 100 shares). Commissions are $0.65 per contract each way unless you change them.
Option prices go back to January 2015. Recent years have 5-minute snapshots during the day; earlier years have the open, midday and close.
Big-trade records ("after a big trade") start in November 2024.
Past results don't predict future ones - which is why portfolios track the same rules forward.

Important: hypothetical results, not investment advice. The backtests and portfolios on these pages are hypothetical. They show what a set of rules would have done on historical and end-of-day option prices; no trades were placed and no money was invested. Portfolios apply the same rules going forward from the day they were added, using end-of-day prices; they are not real accounts and do not reflect actual trades.

Hypothetical or simulated performance results have certain limitations. Unlike an actual performance record, simulated results do not represent actual trading. Since the trades have not been executed, the results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. Results reflect the fill and commission assumptions stated with each test and may not reflect taxes, margin requirements, early assignment, dividends or other costs.

Stock and option trading involves risk that may not be suitable for all investors. Options involve risk and are not suitable for all investors; before trading options, read Characteristics and Risks of Standardized Options.

This information is provided for informational and educational purposes only and should not be construed as investment advice, or as a recommendation to buy or sell any security or to follow any strategy or portfolio. Neither Market Chameleon nor any other party makes warranties regarding results from its usage. Past performance, actual or hypothetical, does not guarantee future results. Please consult a financial advisor before executing any trades.