16-Delta is the "sweet spot" for short put?

Here's the base case with no early exits trading every 5 days. The problem is the monthly losses here in terms of the SPY stock price.

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https://gyazo.com/8e9fccdcaded785d4b234ab791cec6bd
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https://gyazo.com/f4fc0a58a3bc6b5920e8f636d4cf4bbc
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https://gyazo.com/fbd02d1d34f3573dacb0881dfccfd2be
 
Just for clarification:
I think by "16 delta" they mean a strike that is $16 higher than the current spot (as they shortsell Puts).
This has nothing to do with the delta of the option Greeks, IMO.

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Watched Christ's YouTube videos oftern, lot of good training and intros.

I had traded delta 10-15 weekly SPX Put spreads for 2 years on my mobile phone, the result is that it is not worth it, barely broke even.

Perhaps if I trade SPY it would be different, can take assignement and wait for the bounce, rather thatn cash settled.
 
earth_imperator said:
Do you mean trading every day the DTE=45 (in reality varying from 30 to 60 b/c of only monthly options were avail back then), or trading just every 5th day?
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Instead of trading only every 45 days the 16 delta and waiting to expiration, which could miss some moves and lead to path dependency, I instructed the backtest to trade every 5 days the 45 DTE 16 delta short put.
 
Matt_ORATS said:
Instead of trading only every 45 days the 16 delta and waiting to expiration, which could miss some moves and lead to path dependency, I instructed the backtest to trade every 5 days the 45 DTE 16 delta short put.
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Hmm. still unclear to me how you did it b/c saying "Instead of trading only every 45 days" IMO contradicts their methodology as they opened every day a position (and in one of the test variants held it till expiration in 30 to 60 days).

Their conclusion is this:
"Since 2007, doing nothing and simply holding short put positions (16-delta, 30-60 DTE) to expiration has resulted in the highest average P/L per trade."
 
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mervyn said:
Watched Christ's YouTube videos oftern, lot of good training and intros.

I had traded delta 10-15 weekly SPX Put spreads for 2 years on my mobile phone, the result is that it is not worth it, barely broke even.

Perhaps if I trade SPY it would be different, can take assignement and wait for the bounce, rather thatn cash settled.
More...
FYI: SPY is 1/10 of SPX... :-), ie. the same stuff, just reduxed.
 
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