Buy longer-dated put, sell shorter-dated put at same strike.
| Symbol | Return % | Sharpe | Max DD % | Win % | Avg/trade % | Trades |
|---|---|---|---|---|---|---|
| SPY | +1204.8% | 0.90 | +119.2% | +84.2% | +63.4% | 19 |
| QQQ | +1239.0% | 1.12 | +94.2% | +89.5% | +65.2% | 19 |
| IWM | +944.9% | 0.71 | +134.1% | +73.7% | +49.7% | 19 |
| DIA | +1084.9% | 0.69 | +179.9% | +79.0% | +57.1% | 19 |
| Avg | +1118.4% | 0.85 | +131.8% | +81.6% | — | 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 |
|---|---|---|
| term_structure | 45/90 DTE | Short/long tenors |
Put calendar mirrors call calendar with downside-focused strike selection.
# +P(K,T_long) - P(K,T_short)