@G3ni3sWish I constructed a L/S etf strat using index options data for a project. The results seems curve fitted, had a bit of snooping bias and wasnt trained on out of sample data.
But ig adequate data can try and get the results.but the question would still arise is causation correlation
@OptionsFlavour Well you would go from a strangle to straddle effectively by shifting multiple times and given the fact volatility is mean reverting you should end up making money assuming volatility decays
@G3ni3sWish can explain this better