u/Any-Attention6817

This is what the system looks like in practice. VIX 18, Regime A, Tuesday = cash. Not every day is a trade. That's the point.

16 years · 1,679 trades · 86.7% win rate · max drawdown 4% on £1k bankroll. Built this from scratch using real SPY/VIX data. Happy to answer questions on the methodology.

I'm a poker player by background. The way I think about money is through bankroll management, expected value and variance control — not prediction.

I applied that framework to 0DTE SPY options. Backtested 2020–2024. 348 trades across COVID, the 2022 bear market, the 2025 tariff crash.

79.9% win rate. ~32% average annual return on trading capital.

But that's not what I learned.

What I learned is that the system only works if you follow it exactly. Every deviation is a leak. Trading outside the window. Ignoring the VIX ceiling. Holding on when the stop triggers.

The edge isn't the strategy. The edge is the discipline to execute the strategy without interference.

Above VIX 35 — cash. No trade. The 2020 COVID crash had 50 cash days. Sat completely flat through the worst of it. Re-entered when fear retreated. Still made 28.4% that year.
A cash day is not a lost day. That took a long time to actually believe.

Happy to answer questions on the methodology.