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3 Comments

  1. Ryan
    May 19, 2022 @ 12:41 am

    How would a 2x or 3x stop loss impact these results?

    Reply

  2. Ryan J
    May 19, 2022 @ 12:43 am

    How would a 2x or 3x stop loss impact the results? My own work shows it is significant but I’d love to see it added to your study.

    Reply

    • spintwig.com
      May 22, 2022 @ 11:54 pm

      Thanks for reaching out Ryan —

      Adding stop losses would be a drag on performance. I have a short put study that has stop losses from 1x to 5x: https://spintwig.com/spy-short-put-strategy-performance/

      The mechanics that cause stop losses to be a drag would apply here as well.

      Not sure if this is sufficient to validate your work / thesis or if you’re in need of specifically a short call version. If the latter, message me on the contact page for a quote for a custom backtest.

      Reply

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