The strategy performs optimally in markets that are flat to +-5% on a given year. Last year's 32% gain in the S&P 500 was essentially the nightmare year and yi

The strategy performs optimally in markets that are flat to +-5% on a given year. Last year's 32% gain in the S&P 500 was essentially the nightmare year and yielded 6%. 2008 would have been a nightmare year and yielded around the same. The strategy involves selling strangles with European contracts with portfolio margin using algorithms to determine a 95% likelihood of contracts expiring OTM, with a couple dozen adjustment techniques that occur if the 5% scenario plays out.