Buy 1 ATM call, sell 2 OTM calls — profits in moderate rallies, risks in large moves.
| Symbol | Return % | Sharpe | Max DD % | Win % | Avg/trade % | Trades |
|---|---|---|---|---|---|---|
| SPY | -28.4% | -0.02 | +471.9% | +36.8% | -1.5% | 19 |
| QQQ | -167.8% | -0.10 | +555.3% | +36.8% | -8.8% | 19 |
| IWM | -811.1% | -0.56 | +788.5% | +26.3% | -42.7% | 19 |
| DIA | +577.2% | 0.20 | +692.7% | +47.4% | +30.4% | 19 |
| Avg | -107.5% | -0.12 | +627.1% | +36.8% | — | 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 |
|---|---|---|
| long_strike_pct | 1.00 | Long call strike (ATM) |
| short_strike_pct | 1.05 | Short call strikes (5% OTM, ×2) |
| dte | 45 | Days to expiration |
A 1x2 call ratio spread buys one ATM call and sells two OTM calls (105% of spot). The net credit from selling two calls offsets the ATM call cost. Maximum profit is at the short strike at expiration. Above the short strike, the extra short call creates unlimited risk. The strategy profits in moderate bullish moves and is often entered for a small credit. Backtested with 45 DTE cycles.
# 1x2 Call Ratio Spread: buy 1 ATM call, sell 2 OTM calls
for entry in monthly_entries:
S = spot_at_entry
K1 = round(S / 5) * 5 # buy 1 ATM call
K2 = round(S * 1.05 / 5) * 5 # sell 2 OTM calls
T = 45 / 365.25
prem_buy = black_scholes_call(S, K1, T, r, sigma)
prem_sell = black_scholes_call(S, K2, T, r, sigma)
net_credit = 2 * prem_sell - prem_buy
S_exp = spot_at_expiry
payoff_long = max(0, S_exp - K1)
payoff_short = 2 * max(0, S_exp - K2)
pnl = payoff_long - payoff_short + net_credit
pnl_pct = pnl / prem_buy * 100 # % of ATM call cost