Long longer-dated call + short shorter-dated higher-strike call.
| Symbol | Return % | Sharpe | Max DD % | Win % | Avg/trade % | Trades |
|---|---|---|---|---|---|---|
| SPY | +629.3% | 0.70 | +150.8% | +79.0% | +33.1% | 19 |
| QQQ | +834.1% | 0.98 | +110.1% | +89.5% | +43.9% | 19 |
| IWM | +616.0% | 0.63 | +208.9% | +73.7% | +32.4% | 19 |
| DIA | +508.1% | 0.52 | +181.2% | +68.4% | +26.7% | 19 |
| Avg | +646.9% | 0.71 | +162.8% | +77.6% | — | 19 |
What this shows: Overlayed cumulative return series for this strategy across all available symbols.
How to read it: Look for symbols with smoother curves and faster recoveries to assess whether performance is broad-based or driven by a few outliers.
What this shows: Single-symbol cumulative return path for SPY.
How to read it: Use this detailed view to inspect entry/exit behavior over time and whether drawdowns cluster in specific periods.
| Parameter | Default | Description |
|---|---|---|
| strike_skew | ATM/OTM | Long lower strike, short higher strike |
Diagonal combines time and strike differences to shape directional, theta, and vega exposure.
# +C(K1,T_long) - C(K2,T_short)