Aug 30, 2024 · By Lawrence G. McMillan This article was originally published in The Option Strategist Newsletter Volume 13, No. 7 on April 9, 2004. The calendar spread is an interesting …

Sep 7, 2016 · However, the original data used to backtest the strategy used the price of $VIX as the hedge, for the futures didn’t exist at that time. In reality, when the prices of the futures were …

Sep 15, 2020 · This backtest assumed that no adjustments were made – even if the underlying index fell below the strike of the short put or rose above the strike of the short call.

Nov 5, 2019 · Although we have had successful trades in the past few years, that style of trading is difficult to backtest because one has to specify exactly where and how the trailing stop is …