Long longer-dated put + short shorter-dated lower-strike put.
| Symbol | Return % | Sharpe | Max DD % | Win % | Avg/trade % | Trades |
|---|---|---|---|---|---|---|
| SPY | -114.3% | -0.14 | +252.0% | +42.1% | -6.0% | 19 |
| QQQ | +38.9% | 0.04 | +242.2% | +42.1% | +2.0% | 19 |
| IWM | +1.4% | 0.00 | +208.8% | +42.1% | +0.1% | 19 |
| DIA | -413.3% | -0.54 | +454.6% | +26.3% | -21.8% | 19 |
| Avg | -121.8% | -0.16 | +289.4% | +38.2% | — | 19 |
| Parameter | Default | Description |
|---|---|---|
| strike_skew | ATM/OTM | Long higher strike, short lower strike |
Diagonal put spread for bearish exposure with time-structure component.
# +P(K1,T_long) - P(K2,T_short)