Buy an OTM call for leveraged upside exposure with defined risk.
| Parameter | Default | Description |
|---|---|---|
| strike_pct | 1.05 | Strike as fraction of spot (5% OTM) |
| dte | 45 | Days to expiration at entry |
A long call purchases an out-of-the-money call option, providing leveraged exposure to upside moves with risk limited to the premium paid. The strategy profits when the underlying rises above the breakeven (strike + premium). It is a high-risk, high-reward directional bet suited to bullish outlooks with a defined loss. Backtested with 45 DTE cycles at a strike of 105% of spot. P&L is expressed as a percentage of premium paid.
def run_long_call(S, K, T, r, sigma):
"""
Long Call: buy OTM call for upside exposure.
K: strike (105% of S)
"""
premium = black_scholes_call(S, K, T, r, sigma)
# At expiration:
# payoff = max(0, S_exp - K)
# P&L = payoff - premium
# P&L% = (payoff - premium) / premium * 100
return premium
# Backtest loop
for entry in monthly_entries:
S = spot_at_entry
K = round(S * 1.05 / 5) * 5 # 5% OTM call
T = 45 / 365.25
premium = black_scholes_call(S, K, T, RISK_FREE_RATE, avg_iv)
S_exp = spot_at_expiry
payoff = max(0, S_exp - K)
pnl_pct = (payoff - premium) / premium * 100| Symbol | Return % | Sharpe | Max DD % | Win % | Avg/trade % | Trades |
|---|---|---|---|---|---|---|
| SPY | +8015.0% | 0.32 | +700.0% | +26.3% | +421.8% | 19 |
| QQQ | +20403.7% | 0.37 | +400.0% | +42.1% | +1073.9% | 19 |
| IWM | +21916.3% | 0.57 | +614.9% | +47.4% | +1153.5% | 19 |
| DIA | +1864.3% | 0.24 | +700.0% | +26.3% | +98.1% | 19 |
| Avg | +13049.8% | 0.37 | +603.7% | +35.5% | — | 19 |