Put-version butterfly centered near ATM.
| Symbol | Return % | Sharpe | Max DD % | Win % | Avg/trade % | Trades |
|---|---|---|---|---|---|---|
| SPY | -582.2% | -0.41 | +732.0% | +31.6% | -30.6% | 19 |
| QQQ | -711.2% | -0.41 | +1055.4% | +31.6% | -37.4% | 19 |
| IWM | -487.2% | -0.28 | +622.7% | +31.6% | -25.6% | 19 |
| DIA | -428.3% | -0.24 | +467.9% | +31.6% | -22.5% | 19 |
| Avg | -552.2% | -0.34 | +719.5% | +31.6% | — | 19 |
| Parameter | Default | Description |
|---|---|---|
| body_strike | ATM | Middle strike |
Same payoff shape as call butterfly, expressed with puts.
# +P(K3) - 2P(K2) + P(K1)