The Test Bench › option_strategy
Does Short Strangle actually work?
WINNERBeat its benchmark on the honest footing.
The claim
The 16-delta strangle is TastyTrade's bread-and-butter income trade — TastyTrade / premium sellers
What we did
Tested against Expectancy net of REAL bid/ask — patient mid vs. crossing the spread, 2014–2025, real EOD bid/ask, manage 50%/21DTE.
The result
Result: 31.0 expectancy $/trade (crossing the spread)
mid +40 → cross +31/trade, keeps 79% of edge, 75% win, worst -4859
The numbers
| Worst drawdown | -9221.8% |
|---|
Verdict
Real edge that survives real fills: +31/trade crossing the spread (keeps 79% of the +40 mid-price number their studies quote), 75% win. Undefined-risk: keeps its edge through the spread, but you carry the naked tail. But the win rate hides the tail — worst trade -4859 on a 1-lot.
What the test did and did not do
- net of real costs
- point-in-time data
- checked for look-ahead
- tested out of sample
Almost nobody publishing a backtest says which of these they did. We list the ones we failed as well as the ones we passed.
Tested 2026-06-23. The same treatment, applied to every other system, is on the test bench.
Written with AI assistance from our own test database. The numbers are computed, not composed.
General market commentary for education, not personalised investment advice. Backtested results are hypothetical. Trading carries a real risk of loss.