Buy an OTM put and OTM call — cheaper than a straddle, needs a bigger move to profit.
| Symbol | Return % | Sharpe | Max DD % | Win % | Avg/trade % | Trades |
|---|---|---|---|---|---|---|
| SPY | +6434.8% | 0.43 | +500.0% | +36.8% | +338.7% | 19 |
| QQQ | +4364.2% | 0.44 | +592.6% | +31.6% | +229.7% | 19 |
| IWM | +27761.0% | 0.89 | +200.0% | +63.2% | +1461.1% | 19 |
| DIA | +33435.3% | 0.47 | +700.0% | +36.8% | +1759.8% | 19 |
| Avg | +17998.8% | 0.56 | +498.2% | +42.1% | — | 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 |
|---|---|---|
| put_strike_pct | 0.95 | Put strike (5% OTM) |
| call_strike_pct | 1.05 | Call strike (5% OTM) |
| dte | 45 | Days to expiration |
A long strangle buys an OTM put (95% of spot) and an OTM call (105% of spot). It is cheaper than a straddle but requires a larger underlying move to profit. Like the straddle, it is a volatility bet that wins when realised volatility exceeds implied. The wider strikes reduce the debit but widen the breakeven range. Backtested with 45 DTE cycles.
# Long Strangle: buy OTM put + buy OTM call
for entry in monthly_entries:
S = spot_at_entry
K_put = round(S * 0.95 / 5) * 5 # 5% OTM put
K_call = round(S * 1.05 / 5) * 5 # 5% OTM call
T = 45 / 365.25
prem_put = black_scholes_put(S, K_put, T, r, sigma)
prem_call = black_scholes_call(S, K_call, T, r, sigma)
debit = prem_put + prem_call
S_exp = spot_at_expiry
payoff = max(0, K_put - S_exp) + max(0, S_exp - K_call)
pnl = payoff - debit
pnl_pct = pnl / debit * 100