Done ranking of variety of strategies

Done ranking of variety of strategies https://preview.redd.it/cielvjazdvph1.png?width=924&format=png&auto=webp&s=cb34d8a641603dca57ec6bdad6cfa00f14a7cd91 I tried to contain the research to one day, so the dataset is limited. It is quite revealing though how poorly some VRP strategies performed. They won often, then a few large losses took back much of what they made. Few other findings * The cash-secured put won 74.1% of trades, but its worst trade lost about 20% of the underlying reference value. * The bull put credit spread won 70.4% of trades and still averaged slightly below zero after costs. * Trading costs mattered a lot. The iron condor was roughly flat at midpoint and negative once bid/ask spreads and fees were included. * Filtering the put spread for IV at least 1.2 times realized volatility improved its sample average from -0.9 to +16.5 bps, but on only 73 trades. That looks worth investigating further. * The top monthly results were mostly bullish positions. Whether the options added anything beyond owning the ETF is the next question. |Rank|Strategy|Trades|Mean after costs (bps)|Win rate| |:-|:-|:-|:-|:-| |1|Covered call|186|\+76.3|69.9%| |2|Protective put|188|\+70.2|61.7%| |3|Collar|184|\+43.1|63.6%| |4|Bullish risk reversal|208|\+41.5|61.5%| |5|Long call|212|\+36.3|53.8%| |6|Vol-carry filtered put spread|73|\+16.5|72.6%| |7|Bull call debit spread|185|\+12.2|59.5%| |8|Call diagonal|176|\+10.3|63.1%| |9|Cash-secured put|212|\+9.0|74.1%| |10|Put ratio spread|194|\+2.8|46.9%| |11|Bull put credit spread|206|\-0.9|70.4%| |12|Tail-pricing conditioned put spread|162|\-1.7|71.6%| |13|Skew-conditioned vertical|170|\-2.0|71.2%| |14|Long straddle|213|\-3.5|43.2%| |15|Short strangle|184|\-3.9|63.0%| |16|Call backspread|167|\-6.5|38.3%| |17|Long strangle|208|\-8.8|34.6%| |18|Reverse iron condor|178|\-8.9|38.8%| |19|Reverse iron butterfly|179|\-9.0|41.9%| |20|Iron condor|178|\-10.5|53.9%| |21|Vol-carry filtered iron condor|67|\-14.1|47.8%| |22|Call ratio spread|167|\-18.0|47.9%| |23|Put calendar|158|\-18.2|37.3%| |24|Call calendar|143|\-18.4|31.5%| |25|Put broken-wing butterfly|159|\-21.0|43.4%| |26|Bear put debit spread|212|\-21.5|34.0%| |27|Double diagonal|174|\-22.0|25.3%| |28|Bear call credit spread|180|\-22.0|43.3%| |29|Put diagonal|200|\-25.1|38.0%| |30|Iron butterfly|179|\-26.7|43.0%| |31|Put backspread|194|\-27.0|28.9%| |32|Short straddle|189|\-28.8|50.3%| |33|Long put|214|\-31.4|29.4%| |34|Put butterfly|167|\-33.4|10.8%| |35|Double calendar|142|\-35.7|31.7%| |36|Call condor|157|\-37.9|8.9%| |37|Call butterfly|140|\-38.5|16.4%| |38|Put condor|179|\-38.9|5.0%| |39|Call broken-wing butterfly|131|\-50.7|38.9%| |40|Poor man's covered call|186|\-61.1|48.9%| |41|Bearish risk reversal|184|\-61.1|35.3%| |42|Term-structure conditioned calendar|4|\-74.8|0.0%| The methodology has plenty of assumptions and your mileage will vary. I aimed to pinpoint good research candidates, and the results are in the picture. These are starting points for further testing. [source](https://flashalpha.com/articles/options-strategies-ranked-light-backtest-spy-qqq-iwm#42-monthly-etf-strategies)