Hi All, I'm working on a project of backtesting the strategy of Put Collar Spread (buying a put option at a lower delta (let's say -0.5 delta), selling a put option at a higher delta (-0.4) and selling a call to cover the cost of that put spread). The following is the variables setting in the code. ********************* variables setting *************************; %let ticker=SPY; %let TTM_B=28; %let TTM_E=35; %let longtype=P; * trade on call or put spreads; %let longdelta=-0.50; * choose what delta to buy; %let shorttype=P; * trade on call or put spreads; %let shortdelta=-0.40; * choose what delta to short; %let hedgetype=C; * hedge based on call or put; %let iv_limit=1; %let target_ret=0.12; * annual; %let RF=0.01; * the risk free rate; %let months=60; ***************************************************************** Is there anyone know how I can to find the optimized combination of longdelta (which is the put option I buy) and shortdelta (which is the put option I sell) to reach the best annualized return of this strategy? Thank You, Venus

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