STRATEGIES
Backtested Options Trading Strategies
Overnight Debit Spreads - GLD
Buy paired 1DTE vertical debit spreads at end-of-day and let them settle the next trading day. The strategy enters BOTH a bear put spread and bull call spread simultaneously, creating a "debit spread strangle" that profits from any significant overnight move in either direction.
- Instrument: GLD (SPDR Gold Shares ETF) - 1DTE options
- Entry: At-the-money $1-wide paired put + call debit spreads
- Exit: Automatic settlement at next day's close
- Budget: $1,000 per day - buy as many pairs as budget allows
- Edge: Variable contract sizing naturally amplifies gains on cheap-entry days (when one side is near zero, more contracts are purchased, and those tend to be the big-move days).
- Put spread: Buy ATM put, sell ATM-$1 put (profits on down move)
- Call spread: Buy ATM call, sell ATM+$1 call (profits on up move)
SIMULATION RESULTS (Jan 5 - Mar 6, 2026)
HOW IT WORKS
Find ATM Strike
Identify the at-the-money strike price closest to GLD's closing price.
Buy Put Spread
Buy the ATM put and sell the ATM-$1 put. This $1-wide bear put spread profits if GLD drops.
Buy Call Spread
Buy the ATM call and sell the ATM+$1 call. This $1-wide bull call spread profits if GLD rises.
Size the Trade
Calculate pairs: floor($1,000 / (pair cost x 100)). Cheaper entries = more contracts = amplified gains.
Hold Overnight
Options settle at next day's close. One side wins, one loses. Net profit if move exceeds pair cost.
Repeat Daily
Enter fresh positions every trading day. Consistent deployment builds edge over time.
DAILY RESULTS - $1,000/DAY
| Entry | Settle | Time | Close | Settle | Move | Put $ | Call $ | Pair $ | Pairs | Cost | Put P/L | Call P/L | Day P/L | Cum P/L |
|---|
Key Insights
- Variable sizing is the edge: When pair cost is low, more contracts are purchased. These cheap-entry days tend to coincide with big moves, producing outsized gains.
- Small moves are the enemy: Losses occur when GLD moves less than the pair cost. The pair cost acts as a "breakeven zone."
- Big moves in either direction profit: The winning side more than covers the losing side on significant moves.
- Losses are bounded, wins are amplified: Max loss per pair is the pair cost. But variable sizing means cheap entries buy many contracts, amplifying the winning side.
- Entry timing matters: Compare the 4 modes above. The "Perfect Strategy" derived a simple rule from analyzing Best Entry patterns: only enter when pair cost < $0.70. This filtered out every losing day, achieving 17W/0L (100% win rate, +152% ROI) while skipping 25 expensive days.
- The $0.70 threshold: Low pair cost means both spreads are cheap, which means more contracts per $1K. It also means GLD is likely to move more than the pair cost overnight. GLD shows the same pattern as QQQ: 9 traded days, all winners, $8,238 profit on $8,762 deployed (94% ROI). The $0.70 threshold filters perfectly.