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2 Comments

  1. Richard Meadows
    June 21, 2022 @ 6:10 pm

    Hi spintwig, how would rolling at 60DTE work in this scenario? You take the position off after 30 days, but wouldn’t enter again until the next S1 = false signal? That would leave some period of being totally unhedged which is presumably not ideal. cheers, R

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    • spintwig.com
      June 23, 2022 @ 10:36 pm

      Off the top of my head, I’d wager that it would underperform due to potentially missing out on those infrequent left-tail events.

      It’ll dilute the extreme left-tail effectiveness, but perhaps converting the strat into a calendar could make it effective for “medium” drawdowns.

      Reply

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