I’ve been testing an SPX 0DTE morning-trend strategy and would appreciate some critical feedback.
At 10:30 ET, it compares SPX with its first price after 8:30. If SPX is higher, it sells a put credit spread; if lower, it sells a call credit spread. The short strike is placed roughly 1.25 times the current ATM straddle premium away from spot, with a 50-point protective wing.
It trades two spreads when the ATM straddle is 1% or less of SPX, and one spread when it’s above 1%. There’s no profit target or stop; positions are held through settlement.
What weaknesses or hidden risks do you see in the signal, strike selection, sizing, or exit logic?
