100% win rate strategy?

100% win rate strategy? Is it possible?

According to backtest (2010-2019), if you keep selling 120 DTE (+-5) 20 delta naked strangle on SPY (5 max active positions), managed at 5% credit received, and no stoploss, you win 605 times out of 605 trades. It is no doubt a winning strategy but it is a difficult strategy to execute. For example, the drawdown circled in red (unrealized P/L) in late 2011 is a psychological stop for most traders. This is one of the "one big loss wipes out all profit" scenarios. If it happens, you might keep thinking premium selling is too risky and stop doing it. So you need to know what your risk tolerance is.

The good part of this strategy is the long DTE. It gives you more time to be right. It is noted that all losing positions happen to recover within 120 days in the test period. Will it be a trade that never recovers? Yes, might be sometimes in the future. It is just the odd of that to happen is small but not zero. One thing that is worth mentioning is that this strategy can live through volatile 2018 which is pretty impressive to me. Since naked strategy is high risk, I would make sure I have 5-10x of the required capital in my account before trading strategies like it. Again, 215% since 2010 is not so promising. You get similar ROC if you buy and hold SPY.

P.S. 1: I really want to see how this strategy does in 2008 but there is lack of data for either selected DTE or delta before 2010.

P.S. 2: If you don't limit the max active position, it still has 100% win rate (881/881) but the required capital becomes $32,438.