Buy 1 higher put, sell 2 lower puts.
| Symbol | Return % | Sharpe | Max DD % | Win % | Avg/trade % | Trades |
|---|---|---|---|---|---|---|
| SPY | -1336.5% | -0.83 | +1236.5% | +10.5% | -70.3% | 19 |
| QQQ | -1421.6% | -1.35 | +1415.0% | +10.5% | -74.8% | 19 |
| IWM | -1631.2% | -1.25 | +1531.2% | +10.5% | -85.8% | 19 |
| DIA | -1123.4% | -0.64 | +1023.4% | +15.8% | -59.1% | 19 |
| Avg | -1378.2% | -1.02 | +1301.6% | +11.8% | — | 19 |
| Parameter | Default | Description |
|---|---|---|
| ratio | 1x2 | Long/short put ratio |
Front spread is the inverse of put backspread; short convexity profile.
# +P(K1) - 2P(K2)