I briefly looked at the README and code. The strategy is an implementation of The Wheel. Did you backtest the strategy including commissions?
I doubt there is much left after commissions. See [0] for a backtest including commissions and [1] for a blog post from ORATS on how to backtest the strategy using the ORATS backtester.
What many people don't understand about the relatively low-risk options strategies like the wheel or basic covered call selling is that, because they are low risk, they are less lucrative than many simpler strategies.
The financial industry would not just leave that much risk-adjusted return on the table, after all. Just because a strategy is complex does not mean it is lucrative.
I think you must mean that covered calls or the wheel are less lucrative than more complex strategies, unless I'm really missing something. Can't get much simpler than a CC.
The Wheel as a strategy doesn't scale well, though. A good stock for the wheel has relatively low volatility, but with high volume of option interest. These two things are kind of opposed to each other, though. If a stock isn't very volatile, then there isn't much need for large option interest.
Of course there is a lot of overlap where things get interesting.
I think the reason why there aren't a lot of institutions running the wheel et. large. is because it just can't work at the scale they want to operate on. You can probably run the wheel pretty successfully at a million in capital (much larger than I'm used to), but at 10, 100, or 1 billion, it just doesn't work.
And what are they going to do? Pay some guy 200K to generate maybe 200K on a million in capital?
What I mean is that wheeling on SPY is less lucrative than even buying and holding SPY over time, because they are lower risk; see the linked post with backtesting. The past year is not a great example because we have had periods of higher-than-normal volatility.
Of course, you might have better luck wheeling on something with much more implied risk than SPY or cycling through some of the most risky stocks. But depending on where you are in the wheel, you are still yourself assuming risk that can make you lose money (e.g. a collapse in implied risk while you hold the stock).
When you say wheeling works best on a stock with low volatility and high OI, what you mean is that it works best on a security with under-priced risk. I am sure there are actually many funds running strategies based on exploiting over-priced risk premiums. They just have no need to trade options on the open market since they can work with a market maker who can take the other side for them.
>It used to be that only westerners had the means to afford traveling across the world but recently, with the rising income in China and India, they can too and, at least in Europe, you can see this.
IATA forecasts that by 2037 Asia-Pacific will have more air travelers than North America and Europe combined.
My favorite air travel trivia is that the busiest air route by a huge margin isnt in new york or la or anywhere in the U.S, nor is it in europe, nor japan or china, but in Jeju, a tiny island off the coast of south korea. 13m passangers in 2017 alone. It blew my mind.
I don't believe that's a paywall, just Researchgate being scummy like usual and using a citation while pretending to have a copy - all that would do is ping Benter to ask for a copy. I can't find any evidence that that conference presentation was published or that the conference proceedings as a whole were ever published.
Swiss taxes vary hugely between cantons (equivalent of a state in the US) and you pay even less than 16% depending where you live. An example based on the official Swiss Federal Tax Administration online calculator [0]. Single no children living in canton Zug Switzerland (one of the Swiss tax havens):
Gross income CHF 120'000 minus deductions you end up with 100K taxable income and the total tax burden (federal, cantonal and communal) is about 11K.
Edit: the same example for a canton with higher taxes (Bern) gives a total tax burden of 22K
