2 Comments

  1. Tomaz Korosec
    January 15, 2021 @ 10:15 am

    Thanks for another great study.

    How about testing 7 days od 0-3 days short strangle? You did it on 45 days which already had good sharpe ratio at 10-16 delta, but I think even greater sharpe would be with 0-3 or 7 days strangle. Strangle specially for 0 days is interresting as for sure one side expires worthless and the other side you can roll/defend. I know some guys trade that. So as per your studies it is geting clearer that short term strategies are more profitable. Specially 0-3 days. So maybe consider this for future tests 🙂 Maybe also 0-3 days straddle.

    Reply

    • spintwig.com
      January 15, 2021 @ 10:50 am

      Thanks for the suggestion! I’ll add it to the trade ideas to backtest and publish 🙂

      Reply

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