Hey guys, been heads-down for the last couple weeks building a proper SPY put credit spread backtest and I think I have a few findings worth sharing. Posting the highlights here, full writeup with all the tables and numbers is linked at the bottom.

TL;DR - what made the exercise very difficult was adding realistic fill simulation. Every strategy that was making +5,000% suddenly started stopping out on drawdown or going outright bankrupt. Once the simulator stopped letting me fill at the mid, half the "winning" cells flipped negative. Once I added a stop loss, the cells that had been wiping out flipped to category-leading. Almost everything I assumed was either wrong or required one specific guardrail to not blow up.

Setup

grid cells across (delta, DTE, profit-take, stop-loss)

% drawdown circuit breaker that just halts the whole run when things go bad

The eight findings

1. Mid-fill backtests overstate CAGR by 30-60%.…