Wheel Strategy Backtester
Would the wheel have actually worked on this stock over the last 2 years? Stop guessing. Backtest it with real price data and see what would've happened.
Backtest Settings
How to Use This Backtester
Type in a ticker. Set your delta target (how far OTM to sell), DTE range, and time period. Hit run. The backtester walks through historical price data day by day, simulating the full wheel cycle.
It starts by selling a CSP. Stock stays above the strike at expiration? Put expires worthless, you keep the premium. Stock drops below? You get assigned and start selling covered calls. Get called away? Cycle restarts. Just like the real thing.
You'll see total return, annualized yield, win rate, max drawdown, and a head-to-head comparison with buy-and-hold. That last number is the one that matters — did the wheel actually beat just owning the stock?
When Should You Run a Backtest?
Before you put real money into the wheel on any new stock. Period. It takes 30 seconds and answers the most important question: “Would this have actually worked over the last 1-5 years?” Compare different stocks, test aggressive vs. conservative delta targets, and see what happens during selloffs. High-IV stocks look great on paper — until you see the drawdowns. This tool shows you both sides.
Key Concepts Behind the Simulation
Frequently Asked Questions
Can you actually backtest the wheel strategy?
Yes. This backtester simulates the full wheel cycle — selling CSPs, getting assigned, selling covered calls, getting called away, repeat — on any stock using historical price data. It estimates premiums using assumed IV and simplified Black-Scholes. Real historical options data doesn't exist for free, but this gets you close enough to see whether the wheel would've worked on a given stock.
What win rate should I expect with the wheel?
At the 0.20-0.30 delta range, you'll typically see 70-85% of your CSP trades expire worthless. That's a 'win' — you kept the full premium. But here's the thing: even when you 'lose' and get assigned, you start selling covered calls. The wheel turns losses into new income opportunities. Stock selection and position sizing matter way more than raw win rate.
How does the wheel hold up in a bear market?
Honestly? It can underperform buy-and-hold in a steep selloff because you get assigned on puts as prices tank, then you're selling covered calls at lower strikes. But the premiums you collect at every stage give you a cushion that buy-and-hold doesn't have. Run this backtester through 2020 and 2022 to see it play out. Bottom line: stock selection matters most when the market is falling.
What kind of returns does the wheel actually produce?
It depends on the stock, your delta target, and market conditions. Conservative approach — 0.20 delta on blue chips — typically lands 8-15% annualized. More aggressive — 0.30 delta on higher-IV names — can hit 15-30%+, but with more assignments and bigger drawdowns. Don't trust anyone who gives you a single number. Run the backtester on the specific stocks you're considering.
How reliable is backtesting for options?
It's useful but not perfect. Real trading has bid-ask spreads, changing IV, early assignment, dividends, and gap risk that no backtest fully captures. Think of these results as directional — they show you which stocks and parameters tend to work better than others. But actual returns will differ. I always paper trade a strategy for a few weeks before putting real money behind it.