Backtest Case Study · 2016–2023 · OptionsDX 15-min + CBOE VIX

QQQ Put Credit SpreadThe “Hold Breached to Expiry” Strategy

A weekly-laddered bull put credit spread on QQQ, refined across 12 labeled tests. The breakthrough: when the short strike is breached, do nothing — hold to expiration instead of closing early. Breaches on a $5-wide spread usually heal.

Total P&L (realistic)
$133.7k
mid − 3¢ fills, 7.2 yrs
Win Rate
84.0%
263 trades, CONS
Max Drawdown
−29.8%
vs −36.5% bare TP80
Sharpe / Sortino
1.16 / 0.70
weekly, CONS
How to read the fills. Every number is on realistic fills (midpoint minus 3¢ per spread, both entry and exit) — what you actually get on liquid QQQ with patient limit orders. MID is the idealized ceiling; CONS (full bid/ask) is the worst-case floor.

The Equity Curve

cumulative P&L, realistic fills — hold-breached vs bare baseline vs owning QQQ
Cumulative P&L on $25,000 deployed
Realized P&L accumulated on trade exit dates. QQQ benchmark: 211 shares bought 2016-10-07.
-$10k$28k$65k$103k$141k20162017201820192020202120222023$134k$83k$68k$62k
Hold-Breached (Run 32) Bare TP80 VIX-sma20 gate QQQ buy-hold $25k

Risk-Adjusted Comparison

realistic frame — return, Sharpe, Sortino, drawdown side by side
ConfigTotal P&LSharpe (W)Sortino (W)Max DD
Hold-Breached (Run 32)$133,6891.160.70−29.8%
Bare TP80$83,4030.680.52−36.5%
VIX-sma20 gate$68,4320.930.40−13.1%
R21 baseline (TP50)$64,8400.540.40−32.5%
QQQ buy-hold $25k$61,414——−35.6%
Sortino penalizes only downside volatility — the fairer gauge for a premium-selling strategy. Hold-Breached leads on return AND both risk-adjusted measures while cutting drawdown vs the bare baseline.

Trades on the Price Line

every entry on QQQ price — breached trades (held to expiry) ringed in gold
263 entries on QQQ + 190-day SMA regime line
Green = winner, red = loser. Gold ring = breached position. Blue = 190-SMA gate.
$81$167$254$340$42720162017201820192020202120222023
Winning entry Losing entry Breached (held) 190-day SMA

Year by Year

realistic fills — where the hold-breached edge comes from
YearBare TP80Hold-BreachedDifferenceWhat happened
2016$3k$7k+$4kpartial year
2017$32k$34k+$2kcalm bull
2018-$4k-$5k-$664Q4 selloff
2019$4k$19k+$15krecovery captured
2020$18k$31k+$13kCOVID rebound captured
2021$26k$30k+$4kstrong bull
2022-$16k-$19k-$3kbear market
2023$21k$37k+$16krecovery captured
TOTAL$83k$134k+$50k
The edge is recovery capture. 2019, 2020 and 2023 are the wins — snapback rallies the 21-DTE close was cutting off mid-recovery. The two bear years (2018, 2022) are essentially neutral: by the time a breached position would close at 21 DTE in a downturn, it’s already near max loss, so holding longer adds little. The downside is capped by the $5 spread width.

Why It Works

held vs “shadow” — what the same trade would have made closing at 21 DTE

Breached positions: 101

Hold helped76 · 75%+$125,036
Hold hurt25 · 25%−$61,411
Net vs closing early+$63,625

Win rate of breached trades

Held to expiry66 profitable (65%)
Closed at 21 DTE34 profitable (34%)
The flip34% → 65%
The forced-leg tax was zero. The worry that deep-in-the-money legs would lose vendor quotes near expiration never materialized — the exit-permissive pricing rule handles them cleanly, and the DTE-2 backstop closes before settlement mechanics bite.

How To Trade This

the exact mechanical rules — this is the deliverable
QQQ Weekly Put Credit Spread — Hold-Breached
$25k deployable · $25k reserve · defined risk
1
Cadence & regime gate
Every Friday (or prior trading day if holiday), check QQQ at 10:00 ET. Only trade if spot is above the 190-day SMA of daily closes. Below the line → sit out.
2
Open the spread
Sell a $5-wide bull put credit spread: short put at ~0.375 delta (0.35–0.40), long put $5 below. Target 45 DTE (40–45). 16 contracts.
3
Size to risk
Risk per spread = (5 − credit) × 100 × contracts. Total open risk never exceeds $25k deployable. If a new Friday would breach the cap, skip it. The other $25k is reserve.
4
Take profit at 80%
Close any position at 80% of max credit captured. Let winners run most of the way, not just to 50%.
5
Healthy positions: close at 21 DTE
If a position has not been breached and hasn’t hit 80%, close it at 21 days to expiration.
6
Breached positions: HOLD to expiry
If QQQ closes below your short put strike, do not close at 21 DTE. Hold to expiration, exiting only at 2 DTE as a final backstop. This is the edge.
7
No stop-loss. No adjustments.
Do not add a stop-loss (whipsaws — rejected). Do not roll or add a call on breach (rejected). Once breached, do nothing and let the $5 width cap the worst case.
Know the risk. This sells premium — structurally short volatility. It prints in calm uptrends and gives back in bear turns (2018, 2022 were losing years). The $5 width caps each trade’s max loss and the regime gate keeps you mostly out of bears, but a fast gap-down can hit multiple open spreads at once. Max drawdown was −30% realistic. On equal capital it does not always beat owning QQQ — its case is a smoother ride on otherwise-idle capital. In-sample 2016–2023; out-of-sample (2024+) validation still pending.

Tested & Rejected

one labeled variable at a time — failures kept honest
TestIdeaVerdict
Run 21Baseline: TP50, close at 21 DTEReference
Run 222×-credit stop-lossRejected whipsaws cost 3× what they saved
Run 23Profit target 30/50/80%TP80 wins let winners run
Run 24No profit targetRejected target is load-bearing
Run 27VIX < 20-day SMA gateWorks cuts drawdown, costs upside
Run 29Defensive call spread on breachRejected wrong-direction hedge
Run 32Hold breached to expiryBest result +109% vs baseline