Public recipe: cash-secured wheel sized to equity, 35 DTE / 2% OTM puts and calls, manage at 21 DTE. Simulated window 2024-10-04 to 2026-10-02.
This page is a published historical simulation for ORCL — two paired wheel runs, identical inputs, one managed at 21 DTE. On this simulation the 21-Day Rule finished +8.0 pp ahead of holding to expiry.
| Metric | Standard (hold to expiry) | 21-Day Rule | Delta |
|---|---|---|---|
| Total return | -26.5% | -18.4% | +8.0 pp |
| Annualized return | -14.3% | -9.7% | +4.6 pp |
| Buy-and-hold return | -16.7% | -16.7% | 0.0 pp |
| Max drawdown (from peak equity) | 49.9% | 51.5% | +1.6 pp |
| Assignment rate | 40.0% | 42.9% | +2.9 pp |
| Call-away rate | 57.1% | 34.6% | -22.5 pp |
| Average cycle return | -2.6% | -0.9% | — |
| Entry fills priced from real option bars | 47% | 49% | — |
| 21-DTE buy-backs priced from real option bars | — | 51% | — |
Drawdown
Standard max drawdown 49.9% vs rule 51.5% (+1.6 pp).
Assignment
Assignment rate 40.0% standard vs 42.9% rule; call-away 57.1% vs 34.6%.
Fallbacks
The rule arm held 0 of 47 short options to expiry because no 21 DTE price was available for the buy-back.
Data quality
Real option bars priced 47% of the standard arm's entry fills, 49% of the 21-Day arm's, and 51% of its 21 DTE buy-backs. The rest are modelled from implied or realized volatility.
One ticker and one window cannot prove a rule works everywhere
Simulated fills can differ from what a real order would have gotten
The rule arm sometimes cannot exit at 21 DTE and falls back to expiry
A stale or failed refresh removes this page instead of updating it
On this simulation the 21-Day Rule finished +8.0 pp ahead of holding to expiry.
Standard max drawdown 49.9% vs rule 51.5% (+1.6 pp).
Assignment rate 40.0% standard vs 42.9% rule; call-away 57.1% vs 34.6%.
Period 2024-10-04 to 2026-10-02, refreshed 2026-10-04. This page disappears when the data goes stale.
The table below lists both arms metric by metric, with the rule delta signed — positive means the rule finished ahead.
Fallback counts, missing-pricing counts, and data-quality status come from the stored run and stay visible.
Open the gated wheel backtest for ORCL and change DTE, OTM, dates, or the management rule itself.
Standard total return
-26.5%
21-Day total return
-18.4%
Rule delta
+8.0 pp
Real-bar entry fills (21-Day arm)
49%
Everything you need to know about getting started
