2 Comments

  1. Paul
    November 20, 2020 @ 8:56 am

    Excellent backtest. Nice work.
    Taking it one step further, for the 30D or 50D, what happens if one covers when the option goes ITM?
    And another step further, un-covers if it goes back OTM? And repeat.

    Reply

    • spintwig.com
      November 22, 2020 @ 10:30 am

      Thanks Paul! When you say cover the position when it goes ITM, are you thinking of a stop loss that triggers to exit the option position or a short QQQ position that opens to delta hedge?

      Reply

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