The Theta Engine strategy achieved a 100% win rate in Q2 2023, attributing its success to the relentless rally in the market and low volatility levels.
The Earn 3.0 strategy has shown consistent monthly profits with a PCR of 35.1% and a return on buying power of 126%, despite lower win rate than the back test suggests.
Deep dives
Theta Engine's Immaculate Quarter
The podcast episode discusses the performance of the Theta Engine strategy, which achieved a 100% win rate for Q2 and a 99.3% win rate for the first half of 2023. The strategy had a premium capture of 57.7% year to date, with no losers in Q2. The episode attributes this success to the relentless rally in the market from April to June, where the market was up 8.3% in the second quarter. The low volatility levels and small credit prices have also contributed to the strategy's performance.
Earn 3.0 Strategy and Strong Quarter
The podcast also provides an update on the Earn 3.0 strategy. This version of the strategy, which involves trading a ratio strangle, has shown positive results with consistent monthly profits since the beginning of the year. While the win rate stands at 82.9%, lower than the back test suggests, the strategy has achieved a PCR of 35.1% and a strong premium capture. Despite some stops on the call side in June, the equity curve remains steady, and the strategy is currently running at a return on buying power of 126%. Overall, it was a great quarter for both the Theta Engine and Earn 3.0 strategies.
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