Simple Wheel Strategy
Sell 0.30 Δ puts; if assigned, sell 0.30 Δ calls above cost until called away
Default settings, 2020 to Nov 4, 2026.
By stock and year
Select a row to chart it below. Shade is the gap to buying and holding that stock.Unhedged: nothing protects against a crash beyond what the strategy itself holds.
| Stock | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 | 2026 YTD | CAGR | B&H CAGR | Max drawdown |
|---|---|---|---|---|---|---|---|---|---|---|
| +14.0%−1.2 | +17.2%−9.7 | −9.4%+10.1 | +20.4%−3.9 | +11.8%−11.5 | +14.8%−1.5 | +12.2%−0.3 | +11.4% | +13.4% | −24.6% | |
| +32.5%−12.6 | +24.9%−1.9 | −20.5%+12.6 | +42.0%−11.8 | +15.6%−9.3 | +16.2%−4.0 | +10.2%−2.4 | +16.0% | +18.5% | −22.2% | |
| +15.4%−3.1 | +31.6%+18.3 | −12.3%+9.3 | +12.8%−2.3 | +13.6%+3.5 | +13.8%+2.4 | +11.5%−3.9 | +11.9% | +8.2% | −34.7% | |
| +9.5%−108.2 | +17.7%−107.5 | −10.9%+39.4 | +54.6%−184.4 | +49.2%−122.0 | +36.2%−2.7 | +10.0%+9.9 | +22.3% | +65.2% | −18.5% | |
| +45.2%−31.5 | +38.6%+4.7 | −5.9%+20.9 | +43.0%−5.2 | +18.3%−11.7 | +10.4%+1.8 | +16.7%−11.9 | +23.0% | +25.2% | −24.6% | |
| +18.6%+3.4 | +19.1%−7.9 | −8.8%+10.7 | +19.5%−4.8 | +11.9%−11.4 | +13.6%−2.8 | +10.3%−2.1 | +11.9% | +13.4% | −19.3% | |
| +28.3%−16.9 | +21.1%−5.7 | −19.3%+13.8 | +41.1%−12.7 | +14.9%−10.0 | +15.9%−4.3 | +7.2%−5.4 | +14.5% | +18.5% | −21.2% | |
| +23.2%+4.7 | +30.1%+16.9 | −12.0%+9.6 | +12.4%−2.7 | +11.2%+1.1 | +13.6%+2.2 | +7.0%−8.3 | +11.8% | +8.2% | −28.5% | |
| +8.0%−109.8 | +13.2%−112.0 | −8.3%+42.0 | +45.2%−193.8 | +65.6%−105.6 | +40.0%+1.1 | +7.9%+7.8 | +22.7% | +65.2% | −17.2% | |
| +43.4%−33.3 | +37.7%+3.9 | −5.3%+21.6 | +43.6%−4.6 | +17.9%−12.2 | +8.8%+0.2 | +19.6%−9.0 | +23.0% | +25.2% | −22.4% |
Growth of $10,000
Weekly closes on a log scale; the red shade is the strategy's drawdown from its last high. Returns are on the capital the strategy needed at its peak, with interest on idle cash. Hypothetical: how the backtests are made.
Rules · the when / do flow, read-only until you make a copyShow flow
The strategy runs as 2 tracks side by side. Each day, the first rule whose conditions hold in each track acts.
1. Main
- R0Rule
When:
book.open == 0andshares == 0Do: sell put (as csp)delta 0.30dte 30 - Rule
When:
event.assigned == 1Do: nothing (hold) - R1Rule
When:
leg.csp.pnl_pct >= 50Do: close csp - Rule
When:
leg.csp.open == 0Do: nothing (hold) - Rule
When:
shares >= 100andleg.cc.open == 0Do: sell call (as cc)delta 0.30dte 30strike_min basis - Rule
When:
event.called_away == 1Do: nothing (hold) - R5Rule
When:
leg.cc.pnl_pct >= 50Do: close cc - Rule
When:
leg.cc.open == 0Do: nothing (hold)
2. Crash put
A cheap far put under whatever is held; hedge_delta 0 turns it off
- CP1Something is held and no crash put: buy one
When:
hedge_delta > 0andleg.hedge.open == 0andshares >= 100 or book.open > 0Do: buy put (as hedge)qty max(1, round(shares / 100))delta hedge_delta (0)dte hedge_dte (90)dte_min hedge_replace_dte + 7strike_max spot - 0.001strict 1 - CP2Nothing left to protect: sell it
When:
leg.hedge.open == 1andshares < 100andbook.open <= 1Do: close hedge - CP3Down to its last month, or worth hedge_take_x its cost: sell it and buy a fresh one
When:
leg.hedge.open == 1andleg.hedge.dte <= hedge_replace_dte or (hedge_take_x > 0 and leg.hedge.mark >= leg.hedge.cost * hedge_take_x)Do: close hedge; buy put (as hedge)qty max(1, round(shares / 100))delta hedge_delta (0)dte hedge_dte (90)dte_min hedge_replace_dte + 7strike_max spot - 0.001strict 1
Parameters and defaults
Every named number in the rules can be changed in the Rule Builder. These are the defaults the backtest used.
| Parameter | Default |
|---|---|
hedge_delta | 0 |
hedge_dte | 90 |
hedge_replace_dte | 30 |
hedge_take_x | 3 |
Make a copy to change any of it and run your own backtest.
Trade log · every open, roll, assignment and close for SPYShow trades
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Sell 0.30 Δ puts; if assigned, sell 0.30 Δ calls above cost until called away
What it is
The classic wheel: sell 0.30 delta cash-secured puts; if assigned, sell 0.30 delta covered calls above your cost until the shares are called away; then start over with puts.
When to use it
Use it on a stock you would be happy to own, in flat to rising markets, as a simple income routine.
Maximum risk
Nearly the full downside of owning the shares from the put strike down, less the premiums collected; calls are sold above cost, so the shares can stay underwater for a long time.
Questions
What is the wheel?
A loop of cash-secured puts until assigned, then covered calls until called away, collecting premium on both sides.
Why sell calls only above cost?
So a call-away never locks in a loss. The trade-off is waiting, sometimes for months, if the stock falls a lot.
How does it differ from Cash-Secured Puts + Hedge?
That version adds a crash put, weekly expiries and roll rules. This one is the plain loop for comparison.