Evaluating RSI Strategies for Short-Dated SPX Options
Summary
The document considers whether manual RSI-based day trading of SPX calls and puts with very short expirations can produce durable returns. The trader reports success over a brief live period and is beginning a 15-minute-bar backtest, but the test is incomplete. Replies caution that a short sample may not represent the range of future market conditions and that returns achieved with modest capital may not scale to a larger account.
The discussion also notes that the period in question may have been unusual, making tests across other regimes relevant. One reply suggests momentum effects can persist, but offers no direct evidence that this RSI setup works. The reported return is a personal observation, not a validated performance record; the document provides no completed backtest, risk-adjusted metrics, or assessment of execution and option trading costs. It therefore frames sample size, market regime, and capacity as key uncertainties rather than establishing a reliable strategy.
Key ideas
- Two months of live trading is too short to establish that an options strategy is durable.
- A backtest should cover different market conditions, especially when the observed period may have been unusual.
- Returns on modest capital may not scale to larger positions because strategy capacity can be limited.
- The discussion provides cautions but no completed test validating the RSI approach.
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Full text
# Can one successfully daytrade 0dte options based on RSI? # Can one successfully daytrade 0dte options based on RSI? I've been doing that manually for 2 months successfully (40% ROI) with SPX 0-1 DTE (Days To Expiration) options, both puts and calls. I might be just lucky so I purchased some data to do backtesting with 15m timeframe. I didn't complete the test yet but I can calculate probabilities of certain events happening that confirm my strategy. I am starting to think I can do this long term. Am I onto something or is this survivor bias? ## Answer by user42108 (score 1) https://quant.stackexchange.com/a/59314 "Am I onto something or is this survivor bias?" Two obvious points. - two months is a very small sample even if you have a large number of trades, given that it's unlikely to be representative of conditions you can expect to see over a longer period - strategy might be capital constrained. 40% ROI on a modest amount of capital might not translate to anything nearly as attractive on a more meaningful capital base I'm skeptical, but I wish you luck. ## Answer by simzoor (score 0) https://quant.stackexchange.com/a/54503 I once did some research whether the momentum effect vanishes in the german stockmarket after its release in academic literatur (see Schwert, G.W. (2003) "Anomalies and market efficiency" for the american market) Result was that it wasn't vanishing at all, but generated even more abnormal return on average over time. This might be explained because the momentum effect lives from people believing in it pushing the prices in expected direction (self-fulfilling prophecy), so imo the RSI will probably also work in future. ## Answer by RWP - Down by the Bay (score 0) https://quant.stackexchange.com/a/54506 The last two months have been fairly abnormal relative to the majority of history-- in a number of ways. I agree with your inclination to look to your backtest for clues as to what you can expect to make running your strategy in other market environments.
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