Buy an ATM call and ATM put simultaneously — profits from large moves in either direction.
| Symbol | Return % | Sharpe | Max DD % | Win % | Avg/trade % | Trades |
|---|---|---|---|---|---|---|
| SPY | -607.0% | -0.84 | +606.4% | +21.1% | -31.9% | 19 |
| QQQ | -876.3% | -1.87 | +857.7% | +5.3% | -46.1% | 19 |
| IWM | -29.8% | -0.04 | +261.8% | +52.6% | -1.6% | 19 |
| DIA | -366.8% | -0.67 | +369.0% | +26.3% | -19.3% | 19 |
| Avg | -470.0% | -0.85 | +523.7% | +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 |
|---|---|---|
| dte | 45 | Days to expiration |
A long straddle buys an ATM call and ATM put at the same strike and expiration. It profits when the underlying makes a large move in either direction, exceeding the total premium paid. The strategy is a pure volatility bet — it wins when realised volatility exceeds implied volatility. It loses when the underlying stays near the strike (time decay erodes both legs). Backtested with 45 DTE cycles at the nearest round-number ATM strike.
# Long Straddle: buy ATM call + buy ATM put
for entry in monthly_entries:
S = spot_at_entry
K = round(S / 5) * 5 # ATM strike
T = 45 / 365.25
prem_call = black_scholes_call(S, K, T, r, sigma)
prem_put = black_scholes_put(S, K, T, r, sigma)
debit = prem_call + prem_put
S_exp = spot_at_expiry
payoff = max(0, S_exp - K) + max(0, K - S_exp)
pnl = payoff - debit
pnl_pct = pnl / debit * 100