Historical Options Backtester — SPY / SPX / XSP EOD Strategy Validator

Historical Options Validation Framework

Architecture: SPY Daily Expirations & 0DTE (2016–2025)

Backtest options trading strategies using real historical End-of-Day options data with daily expirations (including 0DTE same-day and near-term 1–45 day cycles). Features multi-day mark-to-market trade lifecycles, Delta-based strike selection, realistic Bid/Ask execution, profit-target / stop-loss exits, and intrinsic settlement. Focused strictly on SPY.

Single-Symbol SPY Focus

SPY (S&P 500 ETF Trust) with comprehensive daily expirations. Single-symbol focus preserves speed and local storage.

0DTE & Daily Execution

Same-day 0DTE settlement at market close, or multi-day MTM tracking with profit targets (e.g. 50%) and stop losses (e.g. -100%).

2025 Daily Cache Active

765,370+ contracts across 238 trading days cached locally. Supports any year (2016–2025) via options_data_manager.py.

Strategy Parameters

Historical Options Dataset Daily 0DTE Active

Additional historical years (2016–2024) available via options_data_manager.py

Underlying Symbol

SPY S&P 500 ETF Trust

1x Scale

Strategy Type

Start Date

End Date

Expiration Cycles (DTE) 0–45 DTE Active

Near Term Expiry 0 DTE

0d (0DTE) 7d 14d 30d 45d

Presets:

Strike Selection & Execution

Strike Selection Mode

Short Leg Delta 0.20 Δ

5Δ (Far OTM) 20Δ 35Δ 50Δ (ATM)

Long Leg Delta (Wing) 0.05 Δ

1Δ (Deep OTM) 5Δ 20Δ 40Δ

Slippage ($/leg) $0.02

$0.00 (Zero) $0.02 (Tight) $0.05 $0.10 (Wide)

Max Bid/Ask Spread Cap 40%

10% (Strict) 40% (Standard) 100% (No Filter)

Exit Rule

Profit Target 50%

5% 50% 100% 200%

Stop Loss -100%

-300% (3x) -100% (1x) -50% -10%

Local Data Status:

Initializing SPY options cache...

Dataset Architecture (2016–2025)

The backtester uses an optimized, single-symbol SPY daily options pipeline. Active year 2025 contains 765,370+ contracts with full 0DTE coverage.

Active Cache: data/cached/spy_options_2025.json

Features: Daily Expirations • 0DTE • Real Bid/Ask • Greeks

Available Years: 2016–2025 on-demand

To download & cache any other year (e.g. 2024):

python3 options_data_manager.py build-cache --year 2024

Performance Summary (2025)

SPY

Total Trades

—

Win Rate

—

Total P/L

$0.00

Profit Factor

—

Avg Trade

$0.00

Max Drawdown

0.0%

Cumulative P/L Equity Curve ($)

Strategy Cumulative Growth

Executed Strategy Trades

Click any trade for full inspector & charts