Sell 1 higher put, buy 2 lower puts.
| Symbol | Return % | Sharpe | Max DD % | Win % | Avg/trade % | Trades |
|---|---|---|---|---|---|---|
| SPY | -2722.8% | -0.53 | +2622.8% | +5.3% | -143.3% | 19 |
| QQQ | -2378.6% | -0.91 | +2126.8% | +5.3% | -125.2% | 19 |
| IWM | -3336.3% | -0.35 | +3277.9% | +10.5% | -175.6% | 19 |
| DIA | +564.6% | 0.14 | +852.4% | +89.5% | +29.7% | 19 |
| Avg | -1968.3% | -0.41 | +2220.0% | +27.6% | — | 19 |
| Parameter | Default | Description |
|---|---|---|
| ratio | 1x2 | Short/long put ratio |
Backspread for downside convexity; profits in sharp selloffs and often carries limited upside risk.
# -P(K1) + 2P(K2)