- Start with a baseline
Example baselines:
CSP: delta 0.30, DTE 30, profit take 50%
CC: delta 0.20, DTE 14, profit take 50%
PCS: delta 0.30, DTE 30, width 5, credit_min 0.20
Run 2019–2024, then run 2020–2024, then 2022–2024. You’re checking regime sensitivity.
- Compare rules not absolute returns
Treat absolute CAGR as “directional.” Focus on:
max drawdown
% of time in assignment / holding shares (for CSP/CC)
trade frequency + win rate
tail behavior in crashes (2020, 2022)
- Stress-test assumptions
Play with:
IV lookback (10/20/60)
IV floor/cap
fees
profit-take vs hold-to-expiry
If your “edge” disappears with small assumption changes, it’s fragile.