Performance
Results
The Rolling Butterfly strategy has a real track record — five and a half years of closed positions, reconstructed from broker records. The Leveraged ETF strategy has only been live a few months, so what’s shown for it is backtested using the exact parameters running live today. The 0DTE SPX strategy is shown as a live record only — its summary statistics are held back until the configuration currently trading has enough history to support them. Both will be replaced by live results as the record grows.
Rolling Butterfly Strategy
A delta-neutral options income strategy trading staggered monthly positions across the S&P 500 and Russell 2000, actively hedged through changing market conditions. Positions are laddered on a roughly two-month cadence, so several are working at once at different stages of their life.
127
Closed positions
79%
Profitable
1 of 6
Losing years
5.7 yr
Track record
Realized result by year, scaled to the largest year. Values are omitted deliberately — position sizing isn’t disclosed. 2026 is year to date.
The strategy is short gamma, which means its difficult regime is a fast, large move rather than a falling market. 2022 was a bear market and the book still finished up. Spring 2025 was the real test — a sharp, fast drawdown, and the largest loss in the record. The following year more than recovered it. A track record this long is useful mainly because it contains that episode instead of avoiding it.
Leveraged ETF Strategy
Growth of $100 invested at the start of the backtest, monthly resolution.
| Metric | Strategy | SPY Buy & Hold |
|---|---|---|
| Total Return | +349.9% | +225.3% |
| Max Drawdown | 17.7% | 34.1% |
| Sharpe Ratio | 0.84 | 0.56 |
The gap between the two lines in the chart above is the edge: rotating into a non-correlated asset during high-volatility periods, rather than sitting in cash, outperforms buy-and-hold on both return and drawdown. A walk-forward test (expanding window, one year out-of-sample at a time) confirms the edge holds up in 6 of 7 test years.
0DTE SPX Strategy
Summary statistics for this strategy — win rate, Sharpe ratio, and the distribution of daily outcomes — aren’t shown here yet, on purpose. The configuration running today, including the hedging rule that governs how bad the bad days get, has only been live since August. Computing those figures over the months before that would mean averaging across versions of the strategy that no longer exist, and the resulting numbers would describe something nobody trades. They’ll go up once the current configuration has a long enough record to support them.
What follows is the one thing a short record can honestly show: what actually happened, in order.
Actual Results So Far
An index of cumulative P&L since go-live. It spans more than one configuration of the strategy — the entry window and the hedging rule both changed along the way — which is exactly why it’s shown as a record of what happened rather than as a statistic about what to expect. It includes one of the worst days the structure can produce.
Backtests are simulations based on historical data and don’t account for slippage, fills, or execution quality the way live trading does — actual results have differed and will continue to differ from backtested results. Live figures are drawn from executed fills over a sample short enough that individual days still move the statistics materially. Past performance, simulated or live, is not indicative of future results.