Long Put Diagonal

Directional

Long longer-dated put + short shorter-dated lower-strike put.

Performance across all datasets

SymbolReturn %SharpeMax DD %Win %Avg/trade %Trades
SPY-913.6%-0.58+839.3%+10.5%-48.1%19
QQQ-735.6%-0.44+802.7%+15.8%-38.7%19
IWM-594.5%-0.36+774.6%+31.6%-31.3%19
DIA-837.8%-0.76+757.7%+21.1%-44.1%19
Avg-770.4%-0.53+793.6%+19.7%—19
Cumulative P&L % — all symbols
Detail:
Cumulative P&L % — SPY

Risk Profile

Max Profit
Around short strike zone
Max Loss
Net debit
Breakeven
Dynamic
Outlook
Moderately bearish

Parameters

ParameterDefaultDescription
strike_skewATM/OTMLong higher strike, short lower strike

Methodology

Diagonal put spread for bearish exposure with time-structure component.

Implementation

# +P(K1,T_long) - P(K2,T_short)