Buy put spread + buy call spread.
| Symbol | Return % | Sharpe | Max DD % | Win % | Avg/trade % | Trades |
|---|---|---|---|---|---|---|
| SPY | -921.7% | -0.69 | +949.4% | +26.3% | -48.5% | 19 |
| QQQ | -718.6% | -0.56 | +739.6% | +31.6% | -37.8% | 19 |
| IWM | -597.4% | -0.52 | +533.5% | +26.3% | -31.4% | 19 |
| DIA | -1208.9% | -0.93 | +1250.2% | +15.8% | -63.6% | 19 |
| Avg | -861.7% | -0.68 | +868.1% | +25.0% | — | 19 |
| Parameter | Default | Description |
|---|---|---|
| wing_width | 5-10% | Distance between strikes |
Debit-defined-risk long-volatility structure that profits from larger moves either direction.
# Long put spread + long call spread