IWM Daily Iron Butterfly Backtest | AI Velocity

Daily Iron Butterfly IWM

Total P&L
+$50,680
Jan 1 → 2026-09-15
Win Rate
62.6%
67 wins / 40 losses
Total Trades
107
Mon–Fri daily entries
Potential Trading Days
176
Days a trade could occur
Avg P&L / Day
+$288
Across 176 trading days
Avg Annual Profit
+$72,565
Avg daily P&L × 252
Capital Required
$20,647
Avg max loss / trade
Avg Annual Return
351.5%
Annual profit / avg capital
Profit Factor
1.61
Gross wins / gross losses
Sharpe Ratio
2.76
Daily × √252 annualised
Max Drawdown
$16,200
Peak-to-trough equity
Payoff Ratio
0.96x
Avg win / avg loss

📈 Equity Curve

⚙️ Strategy Configuration

Ticker
IWM
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 ≥ 0.35 (3.50/wing)✔ Active
Net credit ≥ $1.00✔ Active
Straddle ≥ 0.8% of IWM✔ Active
Overnight gap ≤ 1.5% of prior close✔ Active
Prior-day move ≤ 30% of wing (≤$3.00)✔ Active
Avg credit ratio (traded days)0.484 (4.84/10)
Avg straddle % of IWM (traded days)2.019%

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 IWM = ATM)
IWM moves > $10 from ATMMax loss = ($10 − credit) × 100 × 40
Avg net credit collected$4.8383 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)

106

Profit Target +90%

0

Stop Loss −80%

1

Total Trades

107

📊 Win / Loss Analysis

Win Rate Breakdown

Winners (67)62.6%
62.6%
Losers (40)37.4%
37.4%

P&L Breakdown

Average winner+$1,993
Average loser$-2,072
Best trade+$7,120 (2026-01-21)
Worst trade$-12,720 (2026-02-12)
Total gross wins+$133,560
Total gross losses$-82,880

⚠️ Risk Assessment

Max Drawdown

$16,200

Worst Single Loss

$-12,720

Avg Max Loss / Trade

$20,647

Profit Factor

1.61

Sharpe (Annualised)

2.76

Payoff Ratio

0.96x

💡 Key Insights

✅

Profitable Strategy

Total P&L of +$50,680 over 107 trades across Jan–2026-09-15. The iron butterfly's ATM structure collects short-term premium on IWM, a broad small-cap index 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.

⚠️

IWM Volatility Consideration

IWM (Russell 2000 small-cap index ETF) trades a similar profile to SPY — $1 strike increments and a slightly richer ATM weekly straddle (~1.2–1.5% of price vs SPY's ~0.75–1.2%). Small-cap names can still see sharper single-day moves than large-cap indices during risk-off events, 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 107 trades.

📋 Full Trade Log (107 trades)

DateDayExpiryIWM OpenATM LP/SP/SC/LCCredit OpenCr/WingStraddle%Credit Close P&LCum P&LExit
2026-01-02 Friday 2026-01-09 $246.56 247 237/247/247/257 $4.6000 0.460 1.995% $5.0200 $-1,680 $-1,680 SCHED
2026-01-05 Monday 2026-01-09 $250.86 251 241/251/251/261 $4.2800 0.428 1.786% $3.9500 +$1,320 $-360 SCHED
2026-01-06 Tuesday 2026-01-09 $252.26 252 242/252/252/262 $3.6800 0.368 1.526% $5.1700 $-5,960 $-6,320 SCHED
2026-01-09 Friday 2026-01-16 $260.88 261 251/261/261/271 $5.2900 0.529 2.350% $4.7900 +$2,000 $-4,320 SCHED
2026-01-12 Monday 2026-01-16 $259.32 259 249/259/259/269 $4.4500 0.445 1.863% $4.7600 $-1,240 $-5,560 SCHED
2026-01-13 Tuesday 2026-01-16 $261.69 262 252/262/262/272 $3.8000 0.380 1.532% $3.4400 +$1,440 $-4,120 SCHED
2026-01-14 Wednesday 2026-01-16 $260.44 260 250/260/260/270 $3.8900 0.389 1.563% $4.3500 $-1,840 $-5,960 SCHED
2026-01-16 Friday 2026-01-23 $264.93 265 255/265/265/275 $4.7600 0.476 1.955% $4.1700 +$2,360 $-3,600 SCHED
2026-01-20 Tuesday 2026-01-23 $263.11 263 253/263/263/273 $4.5200 0.452 1.866% $4.4100 +$440 $-3,160 SCHED
2026-01-21 Wednesday 2026-01-23 $265.39 265 255/265/265/275 $3.9600 0.396 1.564% $2.1800 +$7,120 +$3,960 SCHED
2026-01-23 Friday 2026-01-30 $268.08 268 258/268/268/278 $5.3200 0.532 2.339% $4.4400 +$3,520 +$7,480 SCHED
2026-01-27 Tuesday 2026-01-30 $263.07 263 253/263/263/273 $4.6900 0.469 1.939% $4.3600 +$1,320 +$8,800 SCHED
2026-01-28 Wednesday 2026-01-30 $265.43 265 255/265/265/275 $4.0600 0.406 1.597% $3.6200 +$1,760 +$10,560 SCHED
2026-01-30 Friday 2026-02-06 $262.59 263 253/263/263/273 $5.8800 0.588 2.620% $5.8500 +$120 +$10,680 SCHED
2026-02-02 Monday 2026-02-06 $260.77 261 251/261/261/271 $5.0300 0.503 2.205% $4.3200 +$2,840 +$13,520 SCHED
2026-02-03 Tuesday 2026-02-06 $263.62 264 254/264/264/274 $3.7600 0.376 1.521% $3.4400 +$1,280 +$14,800 SCHED
2026-02-04 Wednesday 2026-02-06 $263.62 264 254/264/264/274 $4.0900 0.409 1.631% $4.2300 $-560 +$14,240 SCHED
2026-02-10 Tuesday 2026-02-13 $267.24 267 257/267/267/277 $4.9300 0.493 2.036% $4.6100 +$1,280 +$15,520 SCHED
2026-02-11 Wednesday 2026-02-13 $267.78 268 258/268/268/278 $3.9700 0.397 1.580% $3.9400 +$120 +$15,640 SCHED
2026-02-12 Thursday 2026-02-13 $267.31 267 257/267/267/277 $3.6500 0.365 1.407% $6.8300 $-12,720 +$2,920 ✗ SL80
2026-02-18 Wednesday 2026-02-20 $264.09 264 254/264/264/274 $4.6800 0.468 1.927% $4.1300 +$2,200 +$5,120 SCHED
2026-02-19 Thursday 2026-02-20 $262.10 262 252/262/262/272 $4.0300 0.403 1.606% $3.2800 +$3,000 +$8,120 SCHED
2026-02-20 Friday 2026-02-27 $263.29 263 253/263/263/273 $6.1200 0.612 3.012% $6.2600 $-560 +$7,560 SCHED
2026-02-23 Monday 2026-02-27 $263.96 264 254/264/264/274 $5.2200 0.522 2.341% $5.3000 $-320 +$7,240 SCHED
2026-02-25 Wednesday 2026-02-27 $263.63 264 254/264/264/274 $4.0000 0.400 1.597% $3.5500 +$1,800 +$9,040 SCHED
2026-02-27 Friday 2026-03-06 $261.99 262 252/262/262/272 $6.2000 0.620 3.023% $5.5600 +$2,560 +$11,600 SCHED
2026-03-02 Monday 2026-03-06 $259.40 259 249/259/259/269 $5.7600 0.576 2.841% $7.2900 $-6,120 +$5,480 SCHED
2026-03-04 Wednesday 2026-03-06 $259.68 260 250/260/260/270 $5.0900 0.509 2.241% $5.1100 $-80 +$5,400 SCHED
2026-03-05 Thursday 2026-03-06 $259.31 259 249/259/259/269 $4.3300 0.433 1.770% $3.7400 +$2,360 +$7,760 SCHED
2026-03-11 Wednesday 2026-03-13 $252.19 252 242/252/252/262 $5.4300 0.543 2.443% $4.7300 +$2,800 +$10,560 SCHED
2026-03-12 Thursday 2026-03-13 $249.25 249 239/249/249/259 $4.7100 0.471 2.014% $4.3200 +$1,560 +$12,120 SCHED
2026-03-13 Friday 2026-03-20 $250.31 250 240/250/250/260 $7.0900 0.709 3.939% $6.7500 +$1,360 +$13,480 SCHED
2026-03-17 Tuesday 2026-03-20 $250.96 251 241/251/251/261 $5.3800 0.538 2.487% $5.2600 +$480 +$13,960 SCHED
2026-03-18 Wednesday 2026-03-20 $248.51 249 239/249/249/259 $5.1200 0.512 2.294% $3.5400 +$6,320 +$20,280 SCHED
2026-03-19 Thursday 2026-03-20 $243.72 244 234/244/244/254 $4.5300 0.453 1.978% $5.3000 $-3,080 +$17,200 SCHED
2026-03-24 Tuesday 2026-03-27 $245.80 246 236/246/246/256 $6.7700 0.677 3.291% $6.3900 +$1,520 +$18,720 SCHED
2026-03-25 Wednesday 2026-03-27 $252.44 252 242/252/252/262 $5.1800 0.518 2.405% $4.9200 +$1,040 +$19,760 SCHED
2026-03-26 Thursday 2026-03-27 $249.25 249 239/249/249/259 $4.4500 0.445 1.870% $4.0000 +$1,800 +$21,560 SCHED
2026-03-27 Friday 2026-04-10 $246.01 246 236/246/246/256 $7.8100 0.781 5.662% $7.8400 $-120 +$21,440 SCHED
2026-04-07 Tuesday 2026-04-10 $250.45 250 240/250/250/260 $6.4100 0.641 3.058% $7.0400 $-2,520 +$18,920 SCHED
2026-04-10 Friday 2026-04-17 $261.70 262 252/262/262/272 $5.7900 0.579 2.610% $5.5500 +$960 +$19,880 SCHED
2026-04-13 Monday 2026-04-17 $260.42 260 250/260/260/270 $5.2600 0.526 2.266% $5.7500 $-1,960 +$17,920 SCHED
2026-04-15 Wednesday 2026-04-17 $269.47 269 259/269/269/279 $3.6300 0.363 1.418% $3.1700 +$1,840 +$19,760 SCHED
2026-04-20 Monday 2026-04-24 $274.84 275 265/275/275/285 $5.0800 0.508 2.139% $5.5300 $-1,800 +$17,960 SCHED
2026-04-21 Tuesday 2026-04-24 $278.50 278 268/278/278/288 $5.0100 0.501 2.007% $4.2400 +$3,080 +$21,040 SCHED
2026-04-24 Friday 2026-05-01 $275.94 276 266/276/276/286 $6.5000 0.650 2.885% $6.2400 +$1,040 +$22,080 SCHED
2026-04-27 Monday 2026-05-01 $277.82 278 268/278/278/288 $5.3800 0.538 2.214% $4.7800 +$2,400 +$24,480 SCHED
2026-04-28 Tuesday 2026-05-01 $276.50 276 266/276/276/286 $4.6800 0.468 1.863% $4.6100 +$280 +$24,760 SCHED
2026-04-29 Wednesday 2026-05-01 $273.71 274 264/274/274/284 $4.4300 0.443 1.713% $3.9600 +$1,880 +$26,640 SCHED
2026-05-04 Monday 2026-05-08 $278.25 278 268/278/278/288 $5.0400 0.504 2.056% $5.1000 $-240 +$26,400 SCHED
2026-05-05 Tuesday 2026-05-08 $280.60 281 271/281/281/291 $4.4700 0.447 1.807% $4.6200 $-600 +$25,800 SCHED
2026-05-06 Wednesday 2026-05-08 $285.17 285 275/285/285/295 $3.9600 0.396 1.476% $4.0000 $-160 +$25,640 SCHED
2026-05-11 Monday 2026-05-15 $284.90 285 275/285/285/295 $5.0900 0.509 2.036% $5.6600 $-2,280 +$23,360 SCHED
2026-05-12 Tuesday 2026-05-15 $282.60 283 273/283/283/293 $4.5800 0.458 1.808% $3.9500 +$2,520 +$25,880 SCHED
2026-05-13 Wednesday 2026-05-15 $280.67 281 271/281/281/291 $4.1900 0.419 1.593% $4.3000 $-440 +$25,440 SCHED
2026-05-18 Monday 2026-05-22 $276.67 277 267/277/277/287 $5.0800 0.508 2.237% $4.5200 +$2,240 +$27,680 SCHED
2026-05-19 Tuesday 2026-05-22 $273.06 273 263/273/273/283 $4.7100 0.471 1.912% $4.0400 +$2,680 +$30,360 SCHED
2026-05-20 Wednesday 2026-05-22 $274.68 275 265/275/275/285 $4.0300 0.403 1.551% $5.7300 $-6,800 +$23,560 SCHED
2026-05-26 Tuesday 2026-05-29 $288.93 289 279/289/289/299 $4.6200 0.462 1.841% $4.5100 +$440 +$24,000 SCHED
2026-05-27 Wednesday 2026-05-29 $290.22 290 280/290/290/300 $4.2200 0.422 1.568% $3.5600 +$2,640 +$26,640 SCHED
2026-06-01 Monday 2026-06-05 $288.10 288 278/288/288/298 $5.0400 0.504 2.003% $4.5500 +$1,960 +$28,600 SCHED
2026-06-02 Tuesday 2026-06-05 $290.94 291 281/291/291/301 $4.8500 0.485 1.811% $4.2400 +$2,440 +$31,040 SCHED
2026-06-03 Wednesday 2026-06-05 $288.80 289 279/289/289/299 $4.1600 0.416 1.579% $3.6100 +$2,200 +$33,240 SCHED
2026-06-15 Monday 2026-06-26 $297.09 297 287/297/297/307 $6.6400 0.664 3.134% $6.5100 +$520 +$33,760 SCHED
2026-06-16 Tuesday 2026-06-26 $296.24 296 286/296/296/306 $6.0400 0.604 2.866% $6.1200 $-320 +$33,440 SCHED
2026-06-22 Monday 2026-06-26 $298.53 299 289/299/299/309 $4.6000 0.460 1.795% $5.2900 $-2,760 +$30,680 SCHED
2026-06-23 Tuesday 2026-06-26 $294.03 294 284/294/294/304 $5.3100 0.531 2.207% $5.5200 $-840 +$29,840 SCHED
2026-06-24 Wednesday 2026-06-26 $296.25 296 286/296/296/306 $4.9600 0.496 1.846% $4.8100 +$600 +$30,440 SCHED
2026-06-25 Thursday 2026-06-26 $300.31 300 290/300/300/310 $3.7600 0.376 1.309% $3.3500 +$1,640 +$32,080 SCHED
2026-06-26 Friday 2026-07-10 $296.55 297 287/297/297/307 $7.1100 0.711 3.787% $6.6400 +$1,880 +$33,960 SCHED
2026-06-29 Monday 2026-07-10 $298.09 298 288/298/298/308 $7.6100 0.761 3.425% $6.6600 +$3,800 +$37,760 SCHED
2026-06-30 Tuesday 2026-07-10 $297.76 298 288/298/298/308 $6.6900 0.669 2.868% $6.3600 +$1,320 +$39,080 SCHED
2026-07-01 Wednesday 2026-07-10 $299.10 299 289/299/299/309 $5.7500 0.575 2.263% $5.5200 +$920 +$40,000 SCHED
2026-07-02 Thursday 2026-07-10 $300.46 300 290/300/300/310 $4.9600 0.496 1.960% $4.3600 +$2,400 +$42,400 SCHED
2026-07-06 Monday 2026-07-10 $299.15 299 289/299/299/309 $5.2500 0.525 1.925% $3.9900 +$5,040 +$47,440 SCHED
2026-07-07 Tuesday 2026-07-10 $298.58 299 289/299/299/309 $3.9800 0.398 1.423% $4.2100 $-920 +$46,520 SCHED
2026-07-08 Wednesday 2026-07-10 $294.76 295 285/295/295/305 $4.1700 0.417 1.513% $3.6300 +$2,160 +$48,680 SCHED
2026-07-10 Friday 2026-07-17 $296.09 296 286/296/296/306 $5.8700 0.587 2.246% $4.6800 +$4,760 +$53,440 SCHED
2026-07-13 Monday 2026-07-17 $295.02 295 285/295/295/305 $4.5900 0.459 1.735% $4.9200 $-1,320 +$52,120 SCHED
2026-07-14 Tuesday 2026-07-17 $295.75 296 286/296/296/306 $4.2600 0.426 1.572% $3.8000 +$1,840 +$53,960 SCHED
2026-07-17 Friday 2026-07-24 $292.70 293 283/293/293/303 $5.1000 0.510 2.101% $5.3600 $-1,040 +$52,920 SCHED
2026-07-20 Monday 2026-07-24 $295.44 295 285/295/295/305 $4.6700 0.467 1.736% $4.5200 +$600 +$53,520 SCHED
2026-07-24 Friday 2026-07-31 $292.10 292 282/292/292/302 $5.9500 0.595 2.485% $5.0600 +$3,560 +$57,080 SCHED
2026-07-27 Monday 2026-07-31 $295.37 295 285/295/295/305 $5.2500 0.525 1.991% $4.9200 +$1,320 +$58,400 SCHED
2026-07-28 Tuesday 2026-07-31 $292.08 292 282/292/292/302 $5.2700 0.527 2.020% $5.5400 $-1,080 +$57,320 SCHED
2026-07-29 Wednesday 2026-07-31 $293.23 293 283/293/293/303 $5.1800 0.518 1.961% $6.3400 $-4,640 +$52,680 SCHED
2026-07-31 Friday 2026-08-07 $292.56 293 283/293/293/303 $4.7500 0.475 1.846% $4.4200 +$1,320 +$54,000 SCHED
2026-08-03 Monday 2026-08-07 $293.73 294 284/294/294/304 $3.8100 0.381 1.467% $4.7300 $-3,680 +$50,320 SCHED
2026-08-04 Tuesday 2026-08-07 $298.07 298 288/298/298/308 $3.7000 0.370 1.329% $5.4300 $-6,920 +$43,400 SCHED
2026-08-07 Friday 2026-08-14 $300.84 301 291/301/301/311 $4.6200 0.462 1.735% $4.4300 +$760 +$44,160 SCHED
2026-08-10 Monday 2026-08-14 $300.68 301 291/301/301/311 $4.2600 0.426 1.520% $3.8900 +$1,480 +$45,640 SCHED
2026-08-11 Tuesday 2026-08-14 $301.25 301 291/301/301/311 $3.7100 0.371 1.308% $3.9800 $-1,080 +$44,560 SCHED
2026-08-14 Friday 2026-08-21 $303.20 303 293/303/303/313 $3.9800 0.398 1.448% $4.4100 $-1,720 +$42,840 SCHED
2026-08-17 Monday 2026-08-21 $303.58 304 294/304/304/314 $3.5000 0.350 1.252% $3.6600 $-640 +$42,200 SCHED
2026-08-19 Wednesday 2026-08-21 $302.13 302 292/302/302/312 $3.5000 0.350 1.205% $2.5400 +$3,840 +$46,040 SCHED
2026-08-21 Friday 2026-08-28 $299.40 299 289/299/299/309 $5.1300 0.513 1.931% $4.7400 +$1,560 +$47,600 SCHED
2026-08-24 Monday 2026-08-28 $298.67 299 289/299/299/309 $4.8000 0.480 1.758% $4.0400 +$3,040 +$50,640 SCHED
2026-08-25 Tuesday 2026-08-28 $298.93 299 289/299/299/309 $3.9500 0.395 1.402% $3.8800 +$280 +$50,920 SCHED
2026-08-28 Friday 2026-09-04 $299.50 300 290/300/300/310 $4.5500 0.455 1.696% $4.8400 $-1,160 +$49,760 SCHED
2026-09-01 Tuesday 2026-09-04 $291.65 292 282/292/292/302 $3.6800 0.368 1.351% $4.0300 $-1,400 +$48,360 SCHED
2026-09-04 Friday 2026-09-11 $294.10 294 284/294/294/304 $4.2500 0.425 1.574% $4.5300 $-1,120 +$47,240 SCHED
2026-09-08 Tuesday 2026-09-11 $294.55 295 285/295/295/305 $3.8700 0.387 1.402% $3.2200 +$2,600 +$49,840 SCHED
2026-09-09 Wednesday 2026-09-11 $293.31 293 283/293/293/303 $3.8200 0.382 1.360% $4.0000 $-720 +$49,120 SCHED
2026-09-10 Thursday 2026-09-11 $288.54 289 279/289/289/299 $3.6100 0.361 1.331% $3.6000 +$40 +$49,160 SCHED
2026-09-11 Friday 2026-09-18 $290.96 291 281/291/291/301 $5.2700 0.527 2.189% $4.7800 +$1,960 +$51,120 SCHED
2026-09-14 Monday 2026-09-18 $288.35 288 278/288/288/298 $4.7800 0.478 1.952% $4.8000 $-80 +$51,040 SCHED
2026-09-15 Tuesday 2026-09-18 $285.79 286 276/286/286/296 $4.4700 0.447 1.781% $4.5600 $-360 +$50,680 SCHED