Dual Iron Butterfly Analyzer

3天前

Overview
This indicator backtests and analyzes a 0DTE (zero days to expiration) dual iron butterfly options strategy on SPX. It measures how often price stays within profitable ranges from a fixed daily entry time to settlement, calculating expected P/L based on your butterfly structure.

The strategy enters at 16:00 CET (10:00 ET) and settles at RTH close (22:00 CET / 16:00 ET), giving approximately 6 hours of exposure per trade.

Strategy Structure
The dual iron butterfly consists of two overlapping flies centered around the entry price:

Fly A (Bearish-Biased)
Center strike at Entry Price minus Offset (default: -20 points)
Wings extend ±40 points from center

Fly B (Bullish-Biased)
Center strike at Entry Price plus Offset (default: +20 points)
Wings extend ±40 points from center

This creates three profit zones:

• Max Profit Zone: Price settles between the two center strikes (within ±20 points of entry)
  
• Both Win Zone: Price settles where both flies remain profitable (within ±40 points)
  
• Breakeven Zone: Combined structure breaks even at ±60 points from entry
  

How It Works
The indicator captures the entry price at 16:00 CET each trading day and records the settlement price at the following day's first bar. It then calculates:

Deviation Analysis
Absolute percentage and point deviation from entry to settlement, sorted into customizable buckets to show the probability distribution.

P/L Calculation
For each fly, the P/L formula is: Credit minus the minimum of (deviation from center) or (wing width). The combined P/L sums both flies. With default settings (29 points credit per fly, $100 multiplier), max profit per day is $3,200 and max loss is $2,200.

Drawdown Tracking
The indicator tracks cumulative P/L over the lookback period, calculating peak equity, maximum drawdown, and current drawdown to assess strategy risk.

What Makes This Different
Unlike standard deviation indicators, this tool is purpose-built for options traders analyzing dual iron butterfly viability. It provides:

• Options-specific P/L calculations based on actual butterfly payoff structure
  
• Visual probability distribution with key thresholds marked (breakeven, both-win, max-profit zones)
  
• Rolling lookback window that respects your chosen sample size
  
• Drawdown metrics essential for position sizing and risk management
  

Features

• Distribution Table — Shows deviation buckets with cumulative probability
  
• Zone Highlighting — Color-coded rows for max profit, both-win, and breakeven thresholds
  
• P/L Summary — Total P/L, average per session, win rate, best/worst days
  
• Drawdown Section — Max drawdown in dollars and percentage, peak equity, current drawdown
  
• Optional Labels — Entry and settlement markers on the chart
  
• Configurable Structure — Adjust offset, wing width, and credit to match your actual trades
  

Settings Guide

Iron Butterfly Structure

• [code]Center Offset[/code] — Distance from entry price to each fly's center strike (default: 20 points). Larger offset = wider max profit zone but lower probability.
  
• [code]Wing Width[/code] — Distance from center to outer wings (default: 40 points). Determines max loss per fly and breakeven distance.
  
• [code]Net Credit per Fly[/code] — Premium received per iron butterfly in SPX points (default: 29). Adjust based on current market conditions and your actual fills.
  
• [code]Lookback[/code] — Rolling window of trading days to analyze (default: 252 = 1 year). Use 504 for 2 years of data.
  

Distribution Settings

• [code]Bucket Size[/code] — Percentage increment for distribution buckets (default: 0.10%). Smaller = more granular view.
  
• [code]Number of Buckets[/code] — How many rows to display (default: 20).
  

Display

• [code]Table Position[/code] — Corner placement for the statistics table.
  
• [code]Show Entry/Settle Labels[/code] — Toggle chart labels marking entry and settlement prices.
  

How to Use

• Apply to SPX (SPCFD) on an intraday timeframe (1 hour recommended)
  
• Set the butterfly parameters to match your intended trade structure
  
• Review the Cumul % column to see probability of staying within each deviation level
  
• The highlighted BREAKEVEN row shows your probability of profit
  
• Use the P/L Summary to evaluate expected returns over your lookback period
  
• Monitor the Drawdown section to understand worst-case scenarios for position sizing
  

Interpreting the Table

• Purple row (MAX PROFIT) — Deviation where both flies achieve maximum profit
  
• Green row (BOTH WIN) — Deviation where both flies remain profitable
  
• Yellow row (BREAKEVEN) — Combined structure breakeven point
  
• Green percentages (≥80%) — High probability levels
  
• Orange percentages (60-79%) — Medium probability levels
  
• Red percentages (<60%) — Lower probability levels
  

Chart Requirements

• Symbol: SPX (use SPCFD for extended hours data)
  
• Timeframe: Intraday (1h recommended, 30m or lower also works)
  
• The chart must include 16:00 CET bars for entry detection
  

Alerts

• Deviation Exceeds Breakevens — Triggered when settlement exceeds the combined breakeven range
  
• Max Profit Zone Hit — Triggered when settlement falls within the max profit zone
  

Limitations

• Historical analysis only — Past deviation patterns may not predict future behavior
  
• Fixed entry time — Does not account for intraday entry timing optimization
  
• Credit assumption — Actual premiums vary with VIX, time to expiry, and market conditions
  
• No transaction costs — Does not include commissions, fees, or slippage
  
• Single contract — Assumes 1 contract per trade with no scaling or compounding
  

Disclaimer
This indicator is for educational and research purposes only. It does not constitute financial advice.

• Past performance does not guarantee future results
  
• Options trading involves significant risk of loss
  
• The P/L calculations are theoretical based on your input parameters
  
• Always paper trade and validate with real market data before risking capital
  
• Conduct your own research and consult a financial advisor if needed
  

前天

版本注释

Overview
This indicator backtests a 0DTE dual iron butterfly options strategy on SPX. It measures how often price stays within profitable ranges from entry to settlement, calculating expected P/L based on your butterfly structure — now with VIX-based filtering to identify optimal trading conditions.

Entry: 16:00 CET (10:00 ET) — Settlement: RTH close (22:00 CET / 16:00 ET)

What's New in v1.8.0

• VIX Filter — Skip entries when VIX exceeds your threshold
  
• VIX Analysis — Performance breakdown by VIX bucket (< 15, 15-20, 20-25, > 25)
  
• Filter Comparison — See projected P/L and drawdown with vs without filtering
  
• Optional Third Fly — ATM iron butterfly for additional premium
  
• Visual Fly Zones — Boxes on chart showing profit/loss areas
  

Strategy Structure
Two offset iron butterflies centered around entry price:

• Fly A: Center = Entry − Offset, Wings ±Width
  
• Fly B: Center = Entry + Offset, Wings ±Width
  
• Fly C (Optional): ATM at Entry, Wings ±Width
  

Profit zones with default settings (10pt offset, 30pt wings):

• Max Profit: ±10 points (all flies win max)
  
• Both Win: ±20 points (offset flies profitable)
  
• Breakeven: ±40 points (combined P/L = $0)
  

VIX Filter — Key Feature
High VIX often means larger intraday moves that breach breakeven levels. The VIX analysis shows win rate and average P/L for each volatility regime, helping you identify when to sit out.

Usage:

• Keep filter OFF first — review VIX Analysis section
  
• Identify where performance turns negative (typically VIX > 20)
  
• Set threshold and enable filter
  
• Compare DD Δ (drawdown change) and P/L Δ (profit change)
  

Settings Guide

Iron Butterfly Structure

• [code]Center Offset[/code] — Distance to each fly's center (default: 10 pts)
  
• [code]Wing Width[/code] — Distance to outer strikes (default: 30 pts)
  
• [code]Net Credit per Fly[/code] — Premium received per fly (default: 20 pts)
  
• [code]Lookback[/code] — Trading days to analyze (252 = 1 year)
  

Third Fly — ATM (Optional)

• [code]Enable Third Fly[/code] — Adds ATM iron butterfly
  
• [code]Wing Width / Credit[/code] — Can differ from offset flies
  

VIX Filter

• [code]Enable VIX Filter[/code] — Skip entries when VIX > threshold
  
• [code]Max VIX for Entry[/code] — Threshold level (default: 20)
  
• [code]Show VIX Analysis[/code] — Display performance by VIX bucket
  

Table Sections

• Distribution — Deviation buckets with cumulative probability
  
• Zone Markers — MAX PROFIT (purple), BOTH WIN (green), BREAKEVEN (yellow)
  
• P/L Summary — Total, average, win rate, best/worst day
  
• Drawdown — Max DD, peak equity, current DD
  
• VIX Analysis — Performance by VIX range + filter comparison
  

Chart Setup

• Symbol: SPX on intraday timeframe (30m or 1h recommended)
  
• Enable "Show Fly Zone Boxes" to visualize profit/loss areas
  
• Green boxes = profitable fly, Red boxes = losing fly
  

Limitations

• Historical analysis only — past performance ≠ future results
  
• Does not include transaction costs, slippage, or bid-ask spreads
  
• Credit assumptions may differ from actual market prices
  
• VIX at entry may not reflect full session volatility
  

Disclaimer
For educational purposes only. Not financial advice. Options trading involves substantial risk. Always paper trade first and never risk more than you can afford to lose.

前天

版本注释

v1.8.8 Update

Multi-Configuration Support
New "Config Name" input in Webhook settings lets you run multiple indicator instances with different parameters in parallel. Each configuration sends its unique name in webhook payloads, so your server can track and compare strategies separately (e.g., "conservative", "ema_aggressive", "high_vix").

Full Config in All Webhooks
Every webhook event (OPEN, SETTLED, SKIPPED) now includes a complete config snapshot with all indicator settings: offset, wing widths, credits, VIX filter, and EMA filter parameters. No more guessing which settings generated a trade.

Pre-Calculated P/L
SETTLED events now include [code]pl_pts[/code] and [code]pl_dollars[/code] fields calculated by the indicator, simplifying server-side processing.

EMA Direction Field
New [code]ema_direction[/code] field in payloads shows trend at entry: "bullish", "bearish", or "none" (filter disabled).

v1.8.7 Recap

EMA Directional Filter
Trade with the trend. When enabled:

• EMA20 > EMA50 (bullish): Opens Upper Fly (B) + ATM only
  
• EMA20 < EMA50 (bearish): Opens Lower Fly (A) + ATM only
  

Reduces exposure from 3 to 2 flies, avoiding the counter-trend fly that often causes losses.

Webhook Payload Example (SETTLED)

[code]
{
"config_name": "ema_trend_vix20",
"status": "settled",
"fly_type": "FLY_B",
"pl_pts": 13.5,
"pl_dollars": 1350,
"ema_direction": "bullish",
"config": {
"offset": 10,
"wing_width": 30,
"vix_filter_enabled": true,
"vix_max": 20,
"ema_filter_enabled": true,
"ema_fast": 20,
"ema_slow": 50
}
}
[/code]