Long 1 lower call, short 2 middle calls, long 1 upper call.
| Symbol | Return % | Sharpe | Max DD % | Win % | Avg/trade % | Trades |
|---|---|---|---|---|---|---|
| SPY | +1658.2% | 0.28 | +1068.9% | +47.4% | +87.3% | 19 |
| QQQ | +1357.4% | 0.09 | +2640.7% | +42.1% | +71.4% | 19 |
| IWM | -613.1% | -0.45 | +898.1% | +21.1% | -32.3% | 19 |
| DIA | +766.2% | 0.17 | +719.7% | +42.1% | +40.3% | 19 |
| Avg | +792.2% | 0.02 | +1331.8% | +38.2% | — | 19 |
| Parameter | Default | Description |
|---|---|---|
| body_strike | ATM | Middle strike |
A defined-risk, defined-reward structure that benefits if expiry finishes near the body strike.
# +C(K1) - 2C(K2) + C(K3)