Put-version condor with bounded risk/reward.
| Symbol | Return % | Sharpe | Max DD % | Win % | Avg/trade % | Trades |
|---|---|---|---|---|---|---|
| SPY | +710.1% | 0.27 | +600.0% | +52.6% | +37.4% | 19 |
| QQQ | +917.3% | 0.27 | +703.4% | +47.4% | +48.3% | 19 |
| IWM | +143.1% | 0.05 | +700.0% | +36.8% | +7.5% | 19 |
| DIA | -390.7% | -0.21 | +692.2% | +31.6% | -20.6% | 19 |
| Avg | +345.0% | 0.10 | +673.9% | +42.1% | — | 19 |
| Parameter | Default | Description |
|---|---|---|
| inner_width | 5% | Distance between short strikes |
Equivalent payoff family to call condor, expressed with puts.
# +P(K4)-P(K3)-P(K2)+P(K1)