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research · 2 min read
Strategy Portfolio Builder: The Top 20 Option-Selling Strategies, Picked Walk-Forward
Each year from 2020 we picked the 20 best option-selling strategies from millions of backtests, using only earlier data, and tracked them out of sample. Combine any of the 299 candidates into a portfolio and inspect its daily P&L.
Our option-selling research has scored millions of strategy designs: every entry rule, delta, maturity, structure and exit in the 357,937-backtest endpoint study, on 26 ETFs and stocks. The obvious next question is whether you can pick the best of them in advance and hold them as one portfolio.
This study answers it with a fixed rule. On the first day of each year from 2020, it picks the 20 strategies with the strongest statistical evidence and the highest Sharpe ratio, from earlier data only, keeping their returns diversified. Then it tracks what those 20 earned in the year that followed.
New endpoint
One API call tells you when not to sell options
Each session, sell-window says sell or skip for four expiries on SPY, QQQ and IWM, and on a sell day it lists the trades to place, with strikes and exit rules. More than 5 million backtests led to it.
Following it from 2018 to 2026, the deepest drawdown was $255,105, against $958,924 for the same trades sold every day.
Available from Basic this month and from Growth from December 1. Backtesting from Alpha.
What the walk-forward test found
Picking on past Sharpe ratios selects strategies that look smooth because they rarely lose: mostly far out-of-the-money short puts on a few large stocks. In the years they were picked from, those portfolios show daily Sharpe ratios of 2 to 3. In the years after, the walk-forward portfolio earned a daily Sharpe of 0.53 for 2022 to 2026 at realistic fills, below the 0.70 of the plain 0.10 delta put sold every day on the same symbols. The test shows how far in-sample results overstate what a selection rule delivers.
What Enterprise members get
The interactive portfolio builder: 299 strategies on 20 symbols with daily mark-to-market P&L from 2018 to 2026 at mid, halfway and bid/ask fills. It includes every year's top 20, the walk-forward portfolio, a margin estimate with a cap, fixed or compounding position size, and a sortable strategy table.
The full selection rule, every year's picks and the statistics behind them.
Daily P&L files for every strategy at every fill, in CSV, for your own review.
The scripts that rebuild every number from the FlashAlpha Historical API.
Use it every day. A portfolio also needs a call on which days to sell. sell-window says sell or skip each session on SPY, QQQ and IWM and lists the trades to place. See the backtest or read the docs.
Enterprise members
This section is for Enterprise members
Enterprise members get the interactive portfolio builder, every year's top-20 picks, the full method, daily P&L files for every strategy at every fill, and the scripts that rebuild them.
