Buy ATM straddle, sell OTM wings.
| Symbol | Return % | Sharpe | Max DD % | Win % | Avg/trade % | Trades |
|---|---|---|---|---|---|---|
| SPY | -665.1% | -0.78 | +647.2% | +21.1% | -35.0% | 19 |
| QQQ | -545.1% | -0.71 | +512.5% | +31.6% | -28.7% | 19 |
| IWM | -470.2% | -0.57 | +407.3% | +31.6% | -24.8% | 19 |
| DIA | -627.6% | -0.65 | +604.1% | +21.1% | -33.0% | 19 |
| Avg | -577.0% | -0.68 | +542.8% | +26.3% | — | 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 |
|---|---|---|
| wing_width | 10% | Distance to protective shorts |
Long-vol butterfly that wins when expiry moves away from ATM.
# +C(ATM) + P(ATM) - P(wing) - C(wing)