Sell 1 higher put, buy 2 lower puts.
| Symbol | Return % | Sharpe | Max DD % | Win % | Avg/trade % | Trades |
|---|---|---|---|---|---|---|
| SPY | +1336.5% | 0.83 | +352.2% | +89.5% | +70.3% | 19 |
| QQQ | +1421.6% | 1.35 | +93.4% | +89.5% | +74.8% | 19 |
| IWM | +1631.2% | 1.25 | +104.8% | +89.5% | +85.8% | 19 |
| DIA | +1123.4% | 0.64 | +405.7% | +84.2% | +59.1% | 19 |
| Avg | +1378.2% | 1.02 | +239.0% | +88.2% | — | 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)