Put-version condor with bounded risk/reward.
| Symbol | Return % | Sharpe | Max DD % | Win % | Avg/trade % | Trades |
|---|---|---|---|---|---|---|
| SPY | -896.8% | -1.03 | +910.6% | +10.5% | -47.2% | 19 |
| QQQ | -933.5% | -0.81 | +1091.1% | +21.1% | -49.1% | 19 |
| IWM | -823.0% | -0.64 | +781.1% | +31.6% | -43.3% | 19 |
| DIA | -748.0% | -0.61 | +673.7% | +31.6% | -39.4% | 19 |
| Avg | -850.3% | -0.77 | +864.1% | +23.7% | — | 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)