Long Strangles

Volatility

Alias of long strangle (strangle).

Performance across all datasets

SymbolReturn %SharpeMax DD %Win %Avg/trade %Trades
SPY+3440.2%0.35+600.0%+36.8%+181.1%19
QQQ+6935.9%0.48+379.6%+47.4%+365.0%19
IWM+11261.1%0.67+532.3%+47.4%+592.7%19
DIA-735.1%-0.31+715.1%+26.3%-38.7%19
Avg+5225.5%0.30+556.7%+39.5%—19
Cumulative P&L % — all symbols
Detail:
Cumulative P&L % — SPY

Risk Profile

Max Profit
Large moves
Max Loss
Debit paid
Breakeven
Both sides
Outlook
Long volatility

Parameters

ParameterDefaultDescription
alias_ofstrangleEquivalent strategy id

Methodology

Long volatility through OTM put+call.

Implementation

# Alias of strangle