Long longer-dated put + short shorter-dated lower-strike put.
| Symbol | Return % | Sharpe | Max DD % | Win % | Avg/trade % | Trades |
|---|---|---|---|---|---|---|
| SPY | -116.3% | -0.15 | +314.3% | +42.1% | -6.1% | 19 |
| QQQ | +157.9% | 0.20 | +218.5% | +57.9% | +8.3% | 19 |
| IWM | +8.9% | 0.01 | +299.7% | +42.1% | +0.5% | 19 |
| DIA | -341.4% | -0.39 | +434.7% | +36.8% | -18.0% | 19 |
| Avg | -72.7% | -0.08 | +316.8% | +44.7% | — | 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 |
|---|---|---|
| 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)