DIA Daily Iron Butterfly Backtest | AI Velocity

Daily Iron Butterfly DIA

Total P&L
+$36,000
Jan 1 → 2026-09-15
Win Rate
59.8%
61 wins / 40 losses
Total Trades
102
Mon–Fri daily entries
Potential Trading Days
176
Days a trade could occur
Avg P&L / Day
+$205
Across 176 trading days
Avg Annual Profit
+$51,545
Avg daily P&L × 252
Capital Required
$18,785
Avg max loss / trade
Avg Annual Return
274.4%
Annual profit / avg capital
Profit Factor
1.32
Gross wins / gross losses
Sharpe Ratio
1.51
Daily × √252 annualised
Max Drawdown
$22,680
Peak-to-trough equity
Payoff Ratio
0.86x
Avg win / avg loss

📈 Equity Curve

⚙️ Strategy Configuration

Ticker
DIA
Contracts
40
Structure
Iron Butterfly
Wing Width
±$10
Entry Days
Mon–Fri
Entry Time
9:40 ET
Exit Time
14:20 ET
Expiry
Next Friday
Profit Target
+90%
Stop Loss
-80%

Trade Filters

FilterStatus
Credit ratio ≥ 0.2 (2.00/wing)✔ Active
Net credit ≥ $1.00✔ Active
Straddle ≥ 0.8% of DIA✔ Active
Overnight gap ≤ 1.0% of prior close✔ Active
Prior-day move ≤ 30% of wing (≤$3.00)✔ Active
Avg credit ratio (traded days)0.530 (5.30/10)
Avg straddle % of DIA (traded days)1.279%

Strike Construction

LegStrikeActionRole
Long PutATM − $10BuyOuter put wing — defines max loss on downside
Short PutATMSellATM short — max profit zone (butterfly body)
Short CallATMSellATM short — max profit zone (butterfly body)
Long CallATM + $10BuyOuter call wing — defines max loss on upside

P&L Mechanics

Net credit at open (9:40 ET)Max profit = credit × 100 × 40 (at expiry if DIA = ATM)
DIA moves > $10 from ATMMax loss = ($10 − credit) × 100 × 40
Avg net credit collected$5.3037 per share
Auto-exit profit targetClose if P&L ≥ +90% of max profit
Auto-exit stop lossClose if P&L ≤ −80% of max profit

🚦 Exit Breakdown

Scheduled (14:20 ET)

101

Profit Target +90%

0

Stop Loss −80%

1

Total Trades

102

📊 Win / Loss Analysis

Win Rate Breakdown

Winners (61)59.8%
59.8%
Losers (40)40.2%
40.2%

P&L Breakdown

Average winner+$2,447
Average loser$-2,831
Best trade+$11,520 (2026-03-26)
Worst trade$-18,960 (2026-06-09)
Total gross wins+$149,240
Total gross losses$-113,240

⚠️ Risk Assessment

Max Drawdown

$22,680

Worst Single Loss

$-18,960

Avg Max Loss / Trade

$18,785

Profit Factor

1.32

Sharpe (Annualised)

1.51

Payoff Ratio

0.86x

💡 Key Insights

✅

Profitable Strategy

Total P&L of +$36,000 over 102 trades across Jan–2026-09-15. The iron butterfly's ATM structure collects short-term premium on DIA, a large-cap Dow Jones Industrial Average ETF with implied vol similar in character to SPY.

⚠️

Auto-Exit Applied at Exit Bar Only

The live script (if deployed) would monitor positions every 5 minutes and can exit intraday. This backtest applies +90%/−80% thresholds at the 14:20 ET bar close only, understating how often stops would trigger intraday. Real performance may differ.

⚠️

DIA Volatility Consideration

DIA (Dow Jones Industrial Average ETF — 30 large-cap blue chips) trades a profile very close to SPY — $1 strike increments and an ATM weekly straddle (~0.8% of price) squarely within SPY's own ~0.75–1.2% range. Concentration in 30 names means single-stock earnings surprises can move DIA more than a broader 500-name index, so a ±$10 wing still carries real gap/whipsaw risk. Treat this as a close cousin of the SPY strategy, not a substitute for it.

📋 Full Trade Log is not displayed on mobile devices to prevent page freezing. View this report on a desktop browser to see all 102 trades.

📋 Full Trade Log (102 trades)

DateDayExpiryDIA OpenATM LP/SP/SC/LCCredit OpenCr/WingStraddle%Credit Close P&LCum P&LExit
2026-01-02 Friday 2026-01-09 $479.63 480 470/480/480/490 $5.4000 0.540 1.309% $5.5200 $-480 $-480 SCHED
2026-01-06 Tuesday 2026-01-09 $490.34 490 480/490/490/500 $4.4200 0.442 0.969% $6.1300 $-6,840 $-7,320 SCHED
2026-01-12 Monday 2026-01-16 $492.08 492 482/492/492/502 $5.1600 0.516 1.270% $5.9400 $-3,120 $-10,440 SCHED
2026-01-14 Wednesday 2026-01-16 $491.31 491 481/491/491/501 $4.9600 0.496 1.126% $4.0900 +$3,480 $-6,960 SCHED
2026-01-15 Thursday 2026-01-16 $493.49 493 483/493/493/503 $3.7300 0.373 0.782% $2.5000 +$4,920 $-2,040 SCHED
2026-01-16 Friday 2026-01-23 $494.40 494 484/494/494/504 $5.4400 0.544 1.238% $5.2900 +$600 $-1,440 SCHED
2026-01-21 Wednesday 2026-01-23 $486.97 487 477/487/487/497 $5.6600 0.566 1.271% $5.2200 +$1,760 +$320 SCHED
2026-01-23 Friday 2026-01-30 $490.87 491 481/491/491/501 $6.3500 0.635 1.605% $6.0300 +$1,280 +$1,600 SCHED
2026-01-26 Monday 2026-01-30 $492.99 493 483/493/493/503 $5.5100 0.551 1.369% $5.4600 +$200 +$1,800 SCHED
2026-01-27 Tuesday 2026-01-30 $489.70 490 480/490/490/500 $4.9000 0.490 1.184% $5.0200 $-480 +$1,320 SCHED
2026-01-28 Wednesday 2026-01-30 $490.48 490 480/490/490/500 $4.9600 0.496 1.160% $5.2800 $-1,280 +$40 SCHED
2026-01-29 Thursday 2026-01-30 $492.65 493 483/493/493/503 $4.1600 0.416 0.909% $3.3500 +$3,240 +$3,280 SCHED
2026-01-30 Friday 2026-02-06 $489.54 490 480/490/490/500 $5.7500 0.575 1.540% $5.7800 $-120 +$3,160 SCHED
2026-02-02 Monday 2026-02-06 $490.36 490 480/490/490/500 $5.3300 0.533 1.366% $6.3500 $-4,080 $-920 SCHED
2026-02-05 Thursday 2026-02-06 $492.02 492 482/492/492/502 $5.1200 0.512 1.213% $6.0800 $-3,840 $-4,760 SCHED
2026-02-10 Tuesday 2026-02-13 $503.22 503 493/503/503/513 $5.1800 0.518 1.202% $4.7500 +$1,720 $-3,040 SCHED
2026-02-11 Wednesday 2026-02-13 $504.41 504 494/504/504/514 $4.4900 0.449 0.977% $4.3600 +$520 $-2,520 SCHED
2026-02-17 Tuesday 2026-02-20 $496.18 496 486/496/496/506 $6.1800 0.618 1.542% $6.0200 +$640 $-1,880 SCHED
2026-02-18 Wednesday 2026-02-20 $496.95 497 487/497/497/507 $5.0900 0.509 1.183% $4.3100 +$3,120 +$1,240 SCHED
2026-02-19 Thursday 2026-02-20 $494.32 494 484/494/494/504 $4.3200 0.432 0.955% $3.4000 +$3,680 +$4,920 SCHED
2026-02-20 Friday 2026-02-27 $492.26 492 482/492/492/502 $6.5300 0.653 1.899% $6.1800 +$1,400 +$6,320 SCHED
2026-02-25 Wednesday 2026-02-27 $493.67 494 484/494/494/504 $4.7400 0.474 1.074% $4.1000 +$2,560 +$8,880 SCHED
2026-03-02 Monday 2026-03-06 $485.61 486 476/486/486/496 $6.9900 0.699 1.946% $6.3100 +$2,720 +$11,600 SCHED
2026-03-05 Thursday 2026-03-06 $484.88 485 475/485/485/495 $5.0800 0.508 1.235% $5.4300 $-1,400 +$10,200 SCHED
2026-03-11 Wednesday 2026-03-13 $476.99 477 467/477/477/487 $5.5600 0.556 1.489% $5.1800 +$1,520 +$11,720 SCHED
2026-03-13 Friday 2026-03-20 $471.70 472 462/472/472/482 $7.4400 0.744 2.629% $7.7800 $-1,360 +$10,360 SCHED
2026-03-17 Tuesday 2026-03-20 $475.00 475 465/475/475/485 $5.6200 0.562 1.617% $5.2200 +$1,600 +$11,960 SCHED
2026-03-26 Thursday 2026-03-27 $461.66 462 452/462/462/472 $5.2600 0.526 1.319% $2.3800 +$11,520 +$23,480 SCHED
2026-03-27 Friday 2026-04-10 $455.21 455 445/455/455/465 $8.7900 0.879 4.130% $8.1300 +$2,640 +$26,120 SCHED
2026-04-07 Tuesday 2026-04-10 $463.47 463 453/463/463/473 $6.7300 0.673 2.102% $6.8400 $-440 +$25,680 SCHED
2026-04-09 Thursday 2026-04-10 $478.17 478 468/478/478/488 $4.1900 0.419 0.972% $5.1300 $-3,760 +$21,920 SCHED
2026-04-13 Monday 2026-04-17 $475.72 476 466/476/476/486 $5.6800 0.568 1.549% $7.4800 $-7,200 +$14,720 SCHED
2026-04-15 Wednesday 2026-04-17 $486.57 487 477/487/487/497 $4.5600 0.456 1.026% $3.9300 +$2,520 +$17,240 SCHED
2026-04-16 Thursday 2026-04-17 $486.33 486 476/486/486/496 $3.8100 0.381 0.808% $2.9400 +$3,480 +$20,720 SCHED
2026-04-20 Monday 2026-04-24 $494.23 494 484/494/494/504 $6.2200 0.622 1.588% $5.9000 +$1,280 +$22,000 SCHED
2026-04-21 Tuesday 2026-04-24 $496.64 497 487/497/497/507 $5.8600 0.586 1.444% $7.2400 $-5,520 +$16,480 SCHED
2026-04-23 Thursday 2026-04-24 $492.84 493 483/493/493/503 $3.7700 0.377 0.818% $3.4300 +$1,360 +$17,840 SCHED
2026-04-24 Friday 2026-05-01 $491.45 491 481/491/491/501 $6.5400 0.654 1.892% $6.4500 +$360 +$18,200 SCHED
2026-04-27 Monday 2026-05-01 $493.08 493 483/493/493/503 $6.0500 0.605 1.576% $5.2900 +$3,040 +$21,240 SCHED
2026-04-28 Tuesday 2026-05-01 $493.31 493 483/493/493/503 $5.9600 0.596 1.474% $5.0200 +$3,760 +$25,000 SCHED
2026-04-29 Wednesday 2026-05-01 $489.56 490 480/490/490/500 $5.3000 0.530 1.287% $4.5500 +$3,000 +$28,000 SCHED
2026-04-30 Thursday 2026-05-01 $491.52 492 482/492/492/502 $4.7900 0.479 1.017% $5.2700 $-1,920 +$26,080 SCHED
2026-05-07 Thursday 2026-05-08 $499.37 499 489/499/499/509 $3.6900 0.369 0.787% $3.9100 $-880 +$25,200 SCHED
2026-05-11 Monday 2026-05-15 $495.13 495 485/495/495/505 $5.6500 0.565 1.347% $5.6000 +$200 +$25,400 SCHED
2026-05-12 Tuesday 2026-05-15 $494.73 495 485/495/495/505 $5.0600 0.506 1.162% $5.1000 $-160 +$25,240 SCHED
2026-05-14 Thursday 2026-05-15 $500.29 500 490/500/500/510 $3.9000 0.390 0.808% $2.9200 +$3,920 +$29,160 SCHED
2026-05-15 Friday 2026-05-22 $496.29 496 486/496/496/506 $6.4500 0.645 1.763% $6.0900 +$1,440 +$30,600 SCHED
2026-05-18 Monday 2026-05-22 $495.24 495 485/495/495/505 $5.8400 0.584 1.464% $5.7700 +$280 +$30,880 SCHED
2026-05-19 Tuesday 2026-05-22 $493.73 494 484/494/494/504 $5.0800 0.508 1.225% $5.2300 $-600 +$30,280 SCHED
2026-05-20 Wednesday 2026-05-22 $493.63 494 484/494/494/504 $4.3900 0.439 1.041% $6.8600 $-9,880 +$20,400 SCHED
2026-05-26 Tuesday 2026-05-29 $508.02 508 498/508/508/518 $5.0500 0.505 1.116% $4.7400 +$1,240 +$21,640 SCHED
2026-05-27 Wednesday 2026-05-29 $506.40 506 496/506/506/516 $4.5800 0.458 0.985% $4.1300 +$1,800 +$23,440 SCHED
2026-05-28 Thursday 2026-05-29 $505.01 505 495/505/505/515 $3.7800 0.378 0.776% $3.3900 +$1,560 +$25,000 SCHED
2026-05-29 Friday 2026-06-05 $508.65 509 499/509/509/519 $5.6100 0.561 1.335% $5.6100 +$0 +$25,000 SCHED
2026-06-01 Monday 2026-06-05 $509.24 509 499/509/509/519 $5.6400 0.564 1.269% $5.6800 $-160 +$24,840 SCHED
2026-06-02 Tuesday 2026-06-05 $512.72 513 503/513/513/523 $5.7300 0.573 1.268% $4.5800 +$4,600 +$29,440 SCHED
2026-06-03 Wednesday 2026-06-05 $511.82 512 502/512/512/522 $4.0300 0.403 0.846% $4.6000 $-2,280 +$27,160 SCHED
2026-06-09 Tuesday 2026-06-12 $512.22 512 502/512/512/522 $5.5400 0.554 1.279% $10.2800 $-18,960 +$8,200 ✗ SL80
2026-06-10 Wednesday 2026-06-12 $506.81 507 497/507/507/517 $6.0500 0.605 1.436% $5.4900 +$2,240 +$10,440 SCHED
2026-06-22 Monday 2026-06-26 $517.72 518 508/518/518/528 $4.9700 0.497 1.134% $5.3500 $-1,520 +$8,920 SCHED
2026-06-23 Tuesday 2026-06-26 $513.73 514 504/514/514/524 $6.0800 0.608 1.464% $6.1100 $-120 +$8,800 SCHED
2026-06-25 Thursday 2026-06-26 $521.83 522 512/522/522/532 $4.0600 0.406 0.841% $3.5400 +$2,080 +$10,880 SCHED
2026-06-26 Friday 2026-07-10 $516.89 517 507/517/517/527 $8.2500 0.825 2.577% $8.5800 $-1,320 +$9,560 SCHED
2026-06-29 Monday 2026-07-10 $521.30 521 511/521/521/531 $7.4600 0.746 2.008% $6.5500 +$3,640 +$13,200 SCHED
2026-06-30 Tuesday 2026-07-10 $520.28 520 510/520/520/530 $7.6600 0.766 1.893% $6.4600 +$4,800 +$18,000 SCHED
2026-07-01 Wednesday 2026-07-10 $520.46 520 510/520/520/530 $6.4100 0.641 1.572% $6.8600 $-1,800 +$16,200 SCHED
2026-07-02 Thursday 2026-07-10 $525.08 525 515/525/525/535 $5.6500 0.565 1.284% $7.4000 $-7,000 +$9,200 SCHED
2026-07-06 Monday 2026-07-10 $528.05 528 518/528/528/538 $5.2900 0.529 1.127% $4.5300 +$3,040 +$12,240 SCHED
2026-07-07 Tuesday 2026-07-10 $530.71 531 521/531/531/541 $4.3800 0.438 0.895% $3.9700 +$1,640 +$13,880 SCHED
2026-07-08 Wednesday 2026-07-10 $523.92 524 514/524/524/534 $4.2100 0.421 0.893% $3.8500 +$1,440 +$15,320 SCHED
2026-07-10 Friday 2026-07-17 $525.39 525 515/525/525/535 $5.5500 0.555 1.256% $5.2000 +$1,400 +$16,720 SCHED
2026-07-13 Monday 2026-07-17 $526.73 527 517/527/527/537 $4.9600 0.496 1.073% $5.4000 $-1,760 +$14,960 SCHED
2026-07-14 Tuesday 2026-07-17 $524.62 525 515/525/525/535 $5.3600 0.536 1.167% $4.2300 +$4,520 +$19,480 SCHED
2026-07-17 Friday 2026-07-24 $521.80 522 512/522/522/532 $7.6300 0.763 1.916% $5.8800 +$7,000 +$26,480 SCHED
2026-07-20 Monday 2026-07-24 $522.20 522 512/522/522/532 $5.1700 0.517 1.168% $5.5700 $-1,600 +$24,880 SCHED
2026-07-22 Wednesday 2026-07-24 $522.25 522 512/522/522/532 $4.3300 0.433 0.896% $3.6800 +$2,600 +$27,480 SCHED
2026-07-23 Thursday 2026-07-24 $517.81 518 508/518/518/528 $4.6100 0.461 0.960% $3.9200 +$2,760 +$30,240 SCHED
2026-07-24 Friday 2026-07-31 $517.24 517 507/517/517/527 $6.9500 0.695 1.730% $6.7200 +$920 +$31,160 SCHED
2026-07-29 Wednesday 2026-07-31 $522.63 523 513/523/523/533 $5.7800 0.578 1.337% $7.9100 $-8,520 +$22,640 SCHED
2026-08-05 Wednesday 2026-08-07 $545.19 545 535/545/545/555 $5.4900 0.549 1.161% $4.4000 +$4,360 +$27,000 SCHED
2026-08-06 Thursday 2026-08-07 $542.68 543 533/543/543/553 $4.0100 0.401 0.774% $4.8800 $-3,480 +$23,520 SCHED
2026-08-10 Monday 2026-08-14 $538.85 539 529/539/539/549 $5.5800 0.558 1.169% $4.9800 +$2,400 +$25,920 SCHED
2026-08-11 Tuesday 2026-08-14 $540.57 541 531/541/541/551 $4.8000 0.480 1.029% $5.1000 $-1,200 +$24,720 SCHED
2026-08-14 Friday 2026-08-21 $537.02 537 527/537/537/547 $5.0800 0.508 1.087% $4.5700 +$2,040 +$26,760 SCHED
2026-08-17 Monday 2026-08-21 $534.89 535 525/535/535/545 $4.6200 0.462 0.937% $4.4600 +$640 +$27,400 SCHED
2026-08-18 Tuesday 2026-08-21 $532.68 533 523/533/533/543 $4.4100 0.441 0.924% $3.9700 +$1,760 +$29,160 SCHED
2026-08-21 Friday 2026-08-28 $530.15 530 520/530/530/540 $5.7800 0.578 1.345% $5.9300 $-600 +$28,560 SCHED
2026-08-24 Monday 2026-08-28 $532.83 533 523/533/533/543 $4.9600 0.496 1.135% $5.1300 $-680 +$27,880 SCHED
2026-08-25 Tuesday 2026-08-28 $536.40 536 526/536/536/546 $4.3100 0.431 0.921% $4.6400 $-1,320 +$26,560 SCHED
2026-08-26 Wednesday 2026-08-28 $535.68 536 526/536/536/546 $4.4000 0.440 0.885% $4.7600 $-1,440 +$25,120 SCHED
2026-08-27 Thursday 2026-08-28 $534.68 535 525/535/535/545 $4.1600 0.416 0.806% $3.0100 +$4,600 +$29,720 SCHED
2026-08-28 Friday 2026-09-04 $535.82 536 526/536/536/546 $5.0500 0.505 1.118% $4.8100 +$960 +$30,680 SCHED
2026-08-31 Monday 2026-09-04 $532.20 532 522/532/532/542 $5.0400 0.504 1.064% $4.7300 +$1,240 +$31,920 SCHED
2026-09-01 Tuesday 2026-09-04 $529.70 530 520/530/530/540 $4.6900 0.469 0.974% $4.7800 $-360 +$31,560 SCHED
2026-09-02 Wednesday 2026-09-04 $530.00 530 520/530/530/540 $4.2000 0.420 0.858% $3.7400 +$1,840 +$33,400 SCHED
2026-09-04 Friday 2026-09-11 $535.40 535 525/535/535/545 $5.6700 0.567 1.225% $5.0100 +$2,640 +$36,040 SCHED
2026-09-08 Tuesday 2026-09-11 $529.33 529 519/529/529/539 $4.8600 0.486 1.018% $4.6500 +$840 +$36,880 SCHED
2026-09-09 Wednesday 2026-09-11 $525.65 526 516/526/526/536 $3.9400 0.394 0.839% $4.3800 $-1,760 +$35,120 SCHED
2026-09-10 Thursday 2026-09-11 $522.02 522 512/522/522/532 $4.4000 0.440 0.897% $3.8900 +$2,040 +$37,160 SCHED
2026-09-11 Friday 2026-09-18 $525.51 526 516/526/526/536 $6.4600 0.646 1.593% $5.7500 +$2,840 +$40,000 SCHED
2026-09-14 Monday 2026-09-18 $524.99 525 515/525/525/535 $5.9600 0.596 1.431% $5.9800 $-80 +$39,920 SCHED
2026-09-15 Tuesday 2026-09-18 $523.18 523 513/523/523/533 $4.7000 0.470 1.137% $5.6800 $-3,920 +$36,000 SCHED