XLF Daily Iron Butterfly Backtest | AI Velocity

Daily Iron Butterfly XLF

Total P&L
+$13,080
Jan 1 → 2026-09-15
Win Rate
54.0%
54 wins / 38 losses
Total Trades
100
Mon–Fri daily entries
Potential Trading Days
176
Days a trade could occur
Avg P&L / Day
+$74
Across 176 trading days
Avg Annual Profit
+$18,728
Avg daily P&L × 252
Capital Required
$1,476
Avg max loss / trade
Avg Annual Return
1,268.5%
Annual profit / avg capital
Profit Factor
2.03
Gross wins / gross losses
Sharpe Ratio
3.97
Daily × √252 annualised
Max Drawdown
$2,040
Peak-to-trough equity
Payoff Ratio
1.43x
Avg win / avg loss

📈 Equity Curve

⚙️ Strategy Configuration

Ticker
XLF
Contracts
40
Structure
Iron Butterfly
Wing Width
±$1
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 ≥ 0.3 (0.30/wing)✔ Active
Net credit ≥ $0.20✔ Active
Straddle ≥ 0.8% of XLF✔ Active
Overnight gap ≤ 2.0% of prior close✔ Active
Prior-day move ≤ 30% of wing (≤$0.30)✔ Active
Avg credit ratio (traded days)0.635 (0.63/1)
Avg straddle % of XLF (traded days)1.687%

Strike Construction

LegStrikeActionRole
Long PutATM − $1BuyOuter 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 + $1BuyOuter 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 XLF = ATM)
XLF moves > $1 from ATMMax loss = ($1 − credit) × 100 × 40
Avg net credit collected$0.6347 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)

100

Profit Target +90%

0

Stop Loss −80%

0

Total Trades

100

📊 Win / Loss Analysis

Win Rate Breakdown

Winners (54)54.0%
54.0%
Losers (38)46.0%
46.0%

P&L Breakdown

Average winner+$476
Average loser$-333
Best trade+$2,160 (2026-03-23)
Worst trade$-1,160 (2026-01-20)
Total gross wins+$25,720
Total gross losses$-12,640

⚠️ Risk Assessment

Max Drawdown

$2,040

Worst Single Loss

$-1,160

Avg Max Loss / Trade

$1,476

Profit Factor

2.03

Sharpe (Annualised)

3.97

Payoff Ratio

1.43x

💡 Key Insights

✅

Profitable Strategy

Total P&L of +$13,080 over 100 trades across Jan–2026-09-15. The iron butterfly's ATM structure collects short-term premium on XLF, the Financial Select Sector SPDR 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.

⚠️

XLF Volatility Consideration

XLF (Financial Select Sector SPDR — large-cap bank/financial stocks) trades at a much lower price than SPY (~$56 vs ~$580s) with $0.50 strike increments, so wing width and credit thresholds were rescaled proportionally rather than reused from SPY. Concentration in the financial sector means rate-decision days and bank earnings can move XLF sharply, so a ±$1 wing still carries real gap/whipsaw risk relative to its narrower dollar range. Treat this as a smaller-scale 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 100 trades.

📋 Full Trade Log (100 trades)

DateDayExpiryXLF OpenATM LP/SP/SC/LCCredit OpenCr/WingStraddle%Credit Close P&LCum P&LExit
2026-01-02 Friday 2026-01-09 $54.52 54.5 53.5/54.5/54.5/55.5 $0.5800 0.580 1.339% $0.6400 $-240 $-240 SCHED
2026-01-09 Friday 2026-01-16 $56.05 56.0 55.0/56.0/56.0/57.0 $0.7100 0.710 2.070% $0.5800 +$520 +$280 SCHED
2026-01-13 Tuesday 2026-01-16 $54.80 55.0 54.0/55.0/55.0/56.0 $0.5800 0.580 1.350% $0.7200 $-560 $-280 SCHED
2026-01-15 Thursday 2026-01-16 $54.50 54.5 53.5/54.5/54.5/55.5 $0.3600 0.360 0.899% $0.3800 $-80 $-360 SCHED
2026-01-16 Friday 2026-01-23 $54.42 54.5 53.5/54.5/54.5/55.5 $0.6600 0.660 1.599% $0.6000 +$240 $-120 SCHED
2026-01-20 Tuesday 2026-01-23 $53.79 54.0 53.0/54.0/54.0/55.0 $0.3700 0.370 1.264% $0.6600 $-1,160 $-1,280 SCHED
2026-01-22 Thursday 2026-01-23 $53.94 54.0 53.0/54.0/54.0/55.0 $0.4000 0.400 0.890% $0.3700 +$120 $-1,160 SCHED
2026-01-23 Friday 2026-01-30 $53.39 53.5 52.5/53.5/53.5/54.5 $0.6300 0.630 1.798% $0.7000 $-280 $-1,440 SCHED
2026-01-27 Tuesday 2026-01-30 $53.17 53.0 52.0/53.0/53.0/54.0 $0.5300 0.530 1.373% $0.6000 $-280 $-1,720 SCHED
2026-01-28 Wednesday 2026-01-30 $52.94 53.0 52.0/53.0/53.0/54.0 $0.5600 0.560 1.303% $0.5500 +$40 $-1,680 SCHED
2026-01-29 Thursday 2026-01-30 $53.55 53.5 52.5/53.5/53.5/54.5 $0.4400 0.440 1.102% $0.3300 +$440 $-1,240 SCHED
2026-01-30 Friday 2026-02-06 $53.53 53.5 52.5/53.5/53.5/54.5 $0.6800 0.680 1.849% $0.6600 +$80 $-1,160 SCHED
2026-02-02 Monday 2026-02-06 $53.60 53.5 52.5/53.5/53.5/54.5 $0.6900 0.690 1.791% $0.7200 $-120 $-1,280 SCHED
2026-02-09 Monday 2026-02-13 $54.26 54.5 53.5/54.5/54.5/55.5 $0.6100 0.610 1.677% $0.5600 +$200 $-1,080 SCHED
2026-02-18 Wednesday 2026-02-20 $52.64 52.5 51.5/52.5/52.5/53.5 $0.7700 0.770 1.729% $0.5200 +$1,000 $-80 SCHED
2026-02-19 Thursday 2026-02-20 $52.17 52.0 51.0/52.0/52.0/53.0 $0.6200 0.620 1.457% $0.5400 +$320 +$240 SCHED
2026-02-20 Friday 2026-02-27 $51.90 52.0 51.0/52.0/52.0/53.0 $0.8100 0.810 2.582% $0.6200 +$760 +$1,000 SCHED
2026-02-25 Wednesday 2026-02-27 $51.37 51.5 50.5/51.5/51.5/52.5 $0.4700 0.470 1.304% $0.6400 $-680 +$320 SCHED
2026-02-27 Friday 2026-03-06 $51.62 51.5 50.5/51.5/51.5/52.5 $1.0600 1.060 3.215% $0.7600 +$1,200 +$1,520 SCHED
2026-03-02 Monday 2026-03-06 $50.85 51.0 50.0/51.0/51.0/52.0 $0.6100 0.610 2.439% $0.7400 $-520 +$1,000 SCHED
2026-03-05 Thursday 2026-03-06 $51.75 52.0 51.0/52.0/52.0/53.0 $0.5100 0.510 1.488% $0.6300 $-480 +$520 SCHED
2026-03-11 Wednesday 2026-03-13 $50.03 50.0 49.0/50.0/50.0/51.0 $0.6700 0.670 2.039% $0.5900 +$320 +$840 SCHED
2026-03-17 Tuesday 2026-03-20 $50.12 50.0 49.0/50.0/50.0/51.0 $1.0200 1.020 2.514% $0.5500 +$1,880 +$2,720 SCHED
2026-03-20 Friday 2026-03-27 $48.94 49.0 48.0/49.0/49.0/50.0 $0.8200 0.820 2.840% $0.7100 +$440 +$3,160 SCHED
2026-03-23 Monday 2026-03-27 $49.54 49.5 48.5/49.5/49.5/50.5 $1.3000 1.300 3.371% $0.7600 +$2,160 +$5,320 SCHED
2026-03-24 Tuesday 2026-03-27 $48.92 49.0 48.0/49.0/49.0/50.0 $0.7300 0.730 2.412% $0.7300 +$0 +$5,320 SCHED
2026-03-27 Friday 2026-04-10 $48.35 48.5 47.5/48.5/48.5/49.5 $0.9700 0.970 4.654% $0.9800 $-40 +$5,280 SCHED
2026-03-31 Tuesday 2026-04-10 $48.77 49.0 48.0/49.0/49.0/50.0 $0.7800 0.780 3.568% $0.7700 +$40 +$5,320 SCHED
2026-04-02 Thursday 2026-04-10 $48.78 49.0 48.0/49.0/49.0/50.0 $0.7500 0.750 3.014% $0.8600 $-440 +$4,880 SCHED
2026-04-07 Tuesday 2026-04-10 $49.51 49.5 48.5/49.5/49.5/50.5 $0.7900 0.790 2.444% $0.7500 +$160 +$5,040 SCHED
2026-04-09 Thursday 2026-04-10 $51.02 51.0 50.0/51.0/51.0/52.0 $0.3900 0.390 1.137% $0.5200 $-520 +$4,520 SCHED
2026-04-10 Friday 2026-04-17 $51.05 51.0 50.0/51.0/51.0/52.0 $0.7100 0.710 2.429% $0.7300 $-80 +$4,440 SCHED
2026-04-13 Monday 2026-04-17 $50.49 50.5 49.5/50.5/50.5/51.5 $0.9900 0.990 2.872% $0.8300 +$640 +$5,080 SCHED
2026-04-15 Wednesday 2026-04-17 $52.23 52.0 51.0/52.0/52.0/53.0 $0.5600 0.560 1.359% $0.5900 $-120 +$4,960 SCHED
2026-04-16 Thursday 2026-04-17 $52.33 52.5 51.5/52.5/52.5/53.5 $0.4900 0.490 1.108% $0.5800 $-360 +$4,600 SCHED
2026-04-17 Friday 2026-04-24 $52.46 52.5 51.5/52.5/52.5/53.5 $0.6600 0.660 1.906% $0.6300 +$120 +$4,720 SCHED
2026-04-20 Monday 2026-04-24 $52.59 52.5 51.5/52.5/52.5/53.5 $0.7000 0.700 1.825% $0.7800 $-320 +$4,400 SCHED
2026-04-21 Tuesday 2026-04-24 $52.86 53.0 52.0/53.0/53.0/54.0 $0.5200 0.520 1.381% $0.7200 $-800 +$3,600 SCHED
2026-04-23 Thursday 2026-04-24 $52.01 52.0 51.0/52.0/52.0/53.0 $0.5200 0.520 1.154% $0.4200 +$400 +$4,000 SCHED
2026-04-24 Friday 2026-05-01 $51.48 51.5 50.5/51.5/51.5/52.5 $0.6500 0.650 2.098% $0.6300 +$80 +$4,080 SCHED
2026-04-27 Monday 2026-05-01 $51.75 52.0 51.0/52.0/52.0/53.0 $0.5900 0.590 1.643% $0.6000 $-40 +$4,040 SCHED
2026-04-28 Tuesday 2026-05-01 $52.26 52.5 51.5/52.5/52.5/53.5 $0.6600 0.660 1.665% $0.6900 $-120 +$3,920 SCHED
2026-04-30 Thursday 2026-05-01 $51.62 51.5 50.5/51.5/51.5/52.5 $0.4800 0.480 1.124% $0.6200 $-560 +$3,360 SCHED
2026-05-04 Monday 2026-05-08 $51.79 52.0 51.0/52.0/52.0/53.0 $0.6600 0.660 1.699% $0.6800 $-80 +$3,280 SCHED
2026-05-05 Tuesday 2026-05-08 $51.48 51.5 50.5/51.5/51.5/52.5 $0.6300 0.630 1.593% $0.5600 +$280 +$3,560 SCHED
2026-05-06 Wednesday 2026-05-08 $52.17 52.0 51.0/52.0/52.0/53.0 $0.6500 0.650 1.476% $0.5000 +$600 +$4,160 SCHED
2026-05-11 Monday 2026-05-15 $51.02 51.0 50.0/51.0/51.0/52.0 $0.8700 0.870 2.137% $0.5800 +$1,160 +$5,320 SCHED
2026-05-12 Tuesday 2026-05-15 $51.02 51.0 50.0/51.0/51.0/52.0 $0.5700 0.570 1.490% $0.7200 $-600 +$4,720 SCHED
2026-05-14 Thursday 2026-05-15 $51.37 51.5 50.5/51.5/51.5/52.5 $0.4500 0.450 0.993% $0.3700 +$320 +$5,040 SCHED
2026-05-15 Friday 2026-05-22 $51.30 51.5 50.5/51.5/51.5/52.5 $0.6700 0.670 1.930% $0.5600 +$440 +$5,480 SCHED
2026-05-18 Monday 2026-05-22 $51.28 51.5 50.5/51.5/51.5/52.5 $0.5600 0.560 1.638% $0.6400 $-320 +$5,160 SCHED
2026-05-26 Tuesday 2026-05-29 $52.20 52.0 51.0/52.0/52.0/53.0 $0.4500 0.450 1.245% $0.5800 $-520 +$4,640 SCHED
2026-05-29 Friday 2026-06-05 $51.33 51.5 50.5/51.5/51.5/52.5 $0.6100 0.610 1.734% $0.6500 $-160 +$4,480 SCHED
2026-06-01 Monday 2026-06-05 $51.28 51.5 50.5/51.5/51.5/52.5 $0.6200 0.620 1.580% $0.6200 +$0 +$4,480 SCHED
2026-06-02 Tuesday 2026-06-05 $51.55 51.5 50.5/51.5/51.5/52.5 $0.6600 0.660 1.765% $0.5100 +$600 +$5,080 SCHED
2026-06-03 Wednesday 2026-06-05 $50.92 51.0 50.0/51.0/51.0/52.0 $0.5800 0.580 1.414% $0.4500 +$520 +$5,600 SCHED
2026-06-04 Thursday 2026-06-05 $51.67 51.5 50.5/51.5/51.5/52.5 $0.6300 0.630 1.432% $0.4800 +$600 +$6,200 SCHED
2026-06-08 Monday 2026-06-12 $52.24 52.0 51.0/52.0/52.0/53.0 $0.7200 0.720 1.972% $0.7200 +$0 +$6,200 SCHED
2026-06-09 Tuesday 2026-06-12 $52.44 52.5 51.5/52.5/52.5/53.5 $0.7600 0.760 1.831% $0.6600 +$400 +$6,600 SCHED
2026-06-10 Wednesday 2026-06-12 $52.41 52.5 51.5/52.5/52.5/53.5 $0.7000 0.700 1.622% $0.5800 +$480 +$7,080 SCHED
2026-06-11 Thursday 2026-06-12 $52.34 52.5 51.5/52.5/52.5/53.5 $0.5300 0.530 1.166% $0.4100 +$480 +$7,560 SCHED
2026-06-12 Friday 2026-06-26 $53.04 53.0 52.0/53.0/53.0/54.0 $0.7900 0.790 2.696% $0.8000 $-40 +$7,520 SCHED
2026-06-17 Wednesday 2026-06-26 $54.51 54.5 53.5/54.5/54.5/55.5 $0.7800 0.780 2.073% $0.7100 +$280 +$7,800 SCHED
2026-06-23 Tuesday 2026-06-26 $53.61 53.5 52.5/53.5/53.5/54.5 $0.6600 0.660 1.679% $0.7000 $-160 +$7,640 SCHED
2026-06-24 Wednesday 2026-06-26 $53.73 53.5 52.5/53.5/53.5/54.5 $0.6200 0.620 1.321% $0.5300 +$360 +$8,000 SCHED
2026-06-25 Thursday 2026-06-26 $54.01 54.0 53.0/54.0/54.0/55.0 $0.5100 0.510 1.055% $0.5900 $-320 +$7,680 SCHED
2026-06-29 Monday 2026-07-10 $53.80 54.0 53.0/54.0/54.0/55.0 $0.7100 0.710 2.045% $0.6400 +$280 +$7,960 SCHED
2026-06-30 Tuesday 2026-07-10 $53.49 53.5 52.5/53.5/53.5/54.5 $0.7200 0.720 2.075% $0.6700 +$200 +$8,160 SCHED
2026-07-01 Wednesday 2026-07-10 $53.91 54.0 53.0/54.0/54.0/55.0 $0.7500 0.750 1.911% $0.8200 $-280 +$7,880 SCHED
2026-07-13 Monday 2026-07-17 $56.05 56.0 55.0/56.0/56.0/57.0 $0.7500 0.750 1.909% $0.7000 +$200 +$8,080 SCHED
2026-07-15 Wednesday 2026-07-17 $56.45 56.5 55.5/56.5/56.5/57.5 $0.5400 0.540 1.187% $0.5200 +$80 +$8,160 SCHED
2026-07-17 Friday 2026-07-24 $56.54 56.5 55.5/56.5/56.5/57.5 $0.6800 0.680 1.999% $0.6500 +$120 +$8,280 SCHED
2026-07-20 Monday 2026-07-24 $56.28 56.5 55.5/56.5/56.5/57.5 $0.6100 0.610 1.563% $0.6600 $-200 +$8,080 SCHED
2026-07-21 Tuesday 2026-07-24 $55.85 56.0 55.0/56.0/56.0/57.0 $0.6700 0.670 1.504% $0.5900 +$320 +$8,400 SCHED
2026-07-22 Wednesday 2026-07-24 $56.03 56.0 55.0/56.0/56.0/57.0 $0.6000 0.600 1.231% $0.5000 +$400 +$8,800 SCHED
2026-07-23 Thursday 2026-07-24 $55.69 55.5 54.5/55.5/55.5/56.5 $0.4900 0.490 1.006% $0.4900 +$0 +$8,800 SCHED
2026-07-24 Friday 2026-07-31 $55.77 56.0 55.0/56.0/56.0/57.0 $0.7100 0.710 1.901% $0.7100 +$0 +$8,800 SCHED
2026-07-28 Tuesday 2026-07-31 $57.12 57.0 56.0/57.0/57.0/58.0 $0.9900 0.990 2.101% $0.6900 +$1,200 +$10,000 SCHED
2026-08-03 Monday 2026-08-07 $57.43 57.5 56.5/57.5/57.5/58.5 $0.5000 0.500 1.167% $0.5200 $-80 +$9,920 SCHED
2026-08-04 Tuesday 2026-08-07 $57.44 57.5 56.5/57.5/57.5/58.5 $0.5100 0.510 1.114% $0.6400 $-520 +$9,400 SCHED
2026-08-06 Thursday 2026-08-07 $58.10 58.0 57.0/58.0/58.0/59.0 $0.4500 0.450 0.964% $0.4500 +$0 +$9,400 SCHED
2026-08-07 Friday 2026-08-14 $57.59 57.5 56.5/57.5/57.5/58.5 $0.8200 0.820 1.997% $0.5500 +$1,080 +$10,480 SCHED
2026-08-10 Monday 2026-08-14 $57.82 58.0 57.0/58.0/58.0/59.0 $0.5400 0.540 1.280% $0.6400 $-400 +$10,080 SCHED
2026-08-11 Tuesday 2026-08-14 $57.88 58.0 57.0/58.0/58.0/59.0 $0.4200 0.420 1.002% $0.5500 $-520 +$9,560 SCHED
2026-08-12 Wednesday 2026-08-14 $57.85 58.0 57.0/58.0/58.0/59.0 $0.3900 0.390 0.864% $0.3900 +$-0 +$9,560 SCHED
2026-08-14 Friday 2026-08-21 $58.13 58.0 57.0/58.0/58.0/59.0 $0.6200 0.620 1.411% $0.5500 +$280 +$9,840 SCHED
2026-08-17 Monday 2026-08-21 $58.20 58.0 57.0/58.0/58.0/59.0 $0.6800 0.680 1.357% $0.5300 +$600 +$10,440 SCHED
2026-08-19 Wednesday 2026-08-21 $57.83 58.0 57.0/58.0/58.0/59.0 $0.4800 0.480 0.986% $0.5400 $-240 +$10,200 SCHED
2026-08-24 Monday 2026-08-28 $58.03 58.0 57.0/58.0/58.0/59.0 $0.5700 0.570 1.430% $0.4900 +$320 +$10,520 SCHED
2026-08-25 Tuesday 2026-08-28 $58.06 58.0 57.0/58.0/58.0/59.0 $0.6500 0.650 1.447% $0.5600 +$360 +$10,880 SCHED
2026-08-26 Wednesday 2026-08-28 $58.36 58.5 57.5/58.5/58.5/59.5 $0.5900 0.590 1.148% $0.4100 +$720 +$11,600 SCHED
2026-08-27 Thursday 2026-08-28 $58.20 58.0 57.0/58.0/58.0/59.0 $0.4100 0.410 0.790% $0.3300 +$320 +$11,920 SCHED
2026-08-31 Monday 2026-09-04 $57.83 58.0 57.0/58.0/58.0/59.0 $0.5800 0.580 1.332% $0.5800 +$0 +$11,920 SCHED
2026-09-01 Tuesday 2026-09-04 $57.73 57.5 56.5/57.5/57.5/58.5 $0.4800 0.480 1.091% $0.5700 $-360 +$11,560 SCHED
2026-09-04 Friday 2026-09-11 $58.14 58.0 57.0/58.0/58.0/59.0 $0.6100 0.610 1.496% $0.5900 +$80 +$11,640 SCHED
2026-09-08 Tuesday 2026-09-11 $57.59 57.5 56.5/57.5/57.5/58.5 $0.6000 0.600 1.389% $0.5300 +$280 +$11,920 SCHED
2026-09-09 Wednesday 2026-09-11 $56.80 57.0 56.0/57.0/57.0/58.0 $0.5500 0.550 1.233% $0.5600 $-40 +$11,880 SCHED
2026-09-10 Thursday 2026-09-11 $56.95 57.0 56.0/57.0/57.0/58.0 $0.4600 0.460 0.966% $0.4500 +$40 +$11,920 SCHED
2026-09-11 Friday 2026-09-18 $57.35 57.5 56.5/57.5/57.5/58.5 $0.6200 0.620 1.674% $0.6000 +$80 +$12,000 SCHED
2026-09-14 Monday 2026-09-18 $57.50 57.5 56.5/57.5/57.5/58.5 $0.6400 0.640 1.513% $0.3700 +$1,080 +$13,080 SCHED