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 UNH — two paired wheel runs, identical inputs, one managed at 21 DTE. On this simulation the 21-Day Rule finished +1.3 pp ahead of holding to expiry.
| Metric | Standard (hold to expiry) | 21-Day Rule | Delta |
|---|---|---|---|
| Total return | -32.4% | -31.1% | +1.3 pp |
| Annualized return | -17.8% | -17.0% | +0.8 pp |
| Buy-and-hold return | -37.1% | -37.1% | 0.0 pp |
| Max drawdown (from peak equity) | 49.1% | 48.9% | -0.2 pp |
| Assignment rate | 50.0% | 33.3% | -16.7 pp |
| Call-away rate | 33.3% | 42.1% | +8.8 pp |
| Average cycle return | -4.0% | -1.2% | — |
| Entry fills priced from real option bars | 47% | 48% | — |
| 21-DTE buy-backs priced from real option bars | — | 48% | — |
Drawdown
Standard max drawdown 49.1% vs rule 48.9% (-0.2 pp).
Assignment
Assignment rate 50.0% standard vs 33.3% rule; call-away 33.3% vs 42.1%.
Fallbacks
The rule arm held 0 of 46 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, 48% of the 21-Day arm's, and 48% 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 +1.3 pp ahead of holding to expiry.
Standard max drawdown 49.1% vs rule 48.9% (-0.2 pp).
Assignment rate 50.0% standard vs 33.3% rule; call-away 33.3% vs 42.1%.
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 UNH and change DTE, OTM, dates, or the management rule itself.
Standard total return
-32.4%
21-Day total return
-31.1%
Rule delta
+1.3 pp
Real-bar entry fills (21-Day arm)
48%
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