BTC — Longer Long + Weekly Selling (tenor sweep)
Same book as the Trade-This page (1-strike-OTM long wings + ATM weekly short call+put, base/base, IV-filter) but with a longer long: hold one long for 2/3/4 weeks and roll weekly shorts against it. The question: does a longer long help, or just lever the bet up?
What the data says — it's leverage, not edge:
- Longer long ≈ more return AND proportionally more drawdown. 2wk→4wk: M2 total +96→+237, but M2 max-DD -18→-51. Return/DD stays flat (5.5→4.7) — same risk-adjusted return, just bigger.
- The 2026-real low DD is a vol-regime fluke. On real Tardis 2026 the longer long looks great (Exec +44% at DD -5%) — but the longer long is net-long-vega and 2026 had no bad vol-crush for it. Over 2024+ (which has crushes) it carries -51% DD.
- 2-week shorts are bad (4wk/2wk: M2 r/DD ~1, Exec ~0) — too few harvest cycles vs the expensive long. Weekly shorts are the sweet spot at every long tenor.
Takeaway: if you want more return, size up the 2wk/1wk (you control the DD) rather than buy a longer long (which buys you DD via vega). The longer long only wins if you're sure the vol regime stays benign — which you can't be. Numbers: M2 bias-corrected 2024+ (DD-relevant long history), Tardis real 2026 (Mid = mark, Exec = against the orderbook, garbage quotes clamped).
Config matrix
| long / short | #shorts | '24 | '25 | '26 | 25+26 | M2 DD | M2 r/DD | Tardis Mid | Exec'26 | ExecDD |
|---|---|---|---|---|---|---|---|---|---|---|
| 2wk / 1wk ★ base | 2 | +45 | +29 | +22 | +51 | -17.6 | 5.5 | +32.9 | +23.8 | -0.6 |
| 3wk / 1wk | 3 | +92 | +45 | +44 | +89 | -34.1 | 5.3 | +54.2 | +41.2 | -4.8 |
| 4wk / 1wk | 4 | +130 | +47 | +60 | +107 | -50.7 | 4.7 | +57.7 | +44.3 | -4.8 |
| 4wk / 2wk | 2 | +25 | +17 | +7 | +24 | -62.8 | 0.8 | +15.2 | +1.3 | -10.2 |
★ base = the Trade-This variant (2wk/1wk). M2 DD = max drawdown 2024+ (the vega-aware view). Exec'26 = real Tardis against the book. Note how M2 DD blows up with the long tenor while real-2026 DD stays small — that gap IS the un-hedged vega risk you take on with a longer long.
Equity — M2 2024+ (the vega-aware view: longer long = bigger swings)
Equity — real Tardis 2026, Execution against the book
run_freq_data.py. Long = 1-strike-OTM call+put held to expiry;
shorts = ATM call+put rolled weekly/2-weekly; base/base; IV-filter (DVOL < 90d median). R = % notional.