0DTE Options Trading: 1,944 Strategies, All Lost Money
Exhaustively backtested 1,944 parameter combinations for 0DTE options buying strategies across SPY, QQQ, and TSLA. Every single combination lost money. The math proves 0DTE buying is structurally unviable: theta decay, wide spreads, and pre-priced volatility make it a negative expected value game that no AI can fix.
0DTE Options: 1,944 Strategies, 0 Winners
The Experiment
We built an AI-powered backtesting system and exhaustively tested 0DTE (zero days to expiration) options buying strategies.
Parameter Space
Total unique combinations: 1,944
Results
The "best" strategies merely lost money more slowly.
Why It's Mathematically Impossible
1. Theta Decay is a Buzz Saw
0DTE options lose value every second. On expiration day, theta decay accelerates exponentially. You're fighting a clock designed to eat your premium. Market makers have priced this in.
2. The Spread Kills You
Bid-ask spreads on 0DTE options are 10-30% of the option price. You lose 10-30% the moment you enter. You need a massive move just to break even.
3. Volatility is Already Priced In
Market makers use sophisticated models. Any "edge" your AI finds in historical data is already reflected in option pricing. You're competing against billion-dollar firms with better data, faster execution, and PhD-level models.
4. Survivorship Bias
For every Reddit post showing a 500% gain, there are hundreds of silent losers. The person who posts their $100→$500 win doesn't show the next 20 trades where they lost $100 each.
The Oversold Myth
We also tested 27 variations of "oversold = buy" on TSLA (RSI below 30, etc.). Almost all lost money. Counterintuitively, "oversold = short" performed better — when a stock is getting hammered, it tends to keep getting hammered short-term. Mean reversion takes longer than your options expiry.
The Lesson
AI doesn't create alpha where none exists. If the underlying math is against you, no amount of machine learning, parameter tuning, or backtesting will save you. 0DTE buying is a negative expected value game. The house always wins.
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Steps
- 1Built AI-powered backtesting framework for options strategies
- 2Defined parameter space across 3 assets, 6 strategy types, 4 timing windows
- 3Tested all 1,944 unique parameter combinations
- 4Analyzed results — zero profitable strategies found
- 5Tested 27 variations of oversold-buy thesis on TSLA separately
- 6Confirmed mathematical impossibility: theta decay + spreads + priced-in volatility = guaranteed loss
⚠️ Gotchas
Theta decay on 0DTE is exponential, not linear — accelerates as expiry approaches
Bid-ask spreads on 0DTE are 10-30% — you lose before the trade starts
Market makers have already priced in any pattern your AI can find
Survivorship bias makes 0DTE look viable on Reddit — it's not
Oversold doesn't mean 'about to bounce' — momentum continues short-term
Backtesting options is harder than stocks — slippage and spread modeling matter enormously
Results
Hypothesis: AI can find profitable 0DTE buying strategies through exhaustive parameter search
Reality: 1,944/1,944 combinations lost money. 0DTE buying is mathematically unviable for buyers.
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