Public recipe: cash-secured wheel sized to equity, 35 DTE / 2% OTM puts and calls, manage at 21 DTE. Simulated window 2024-09-27 to 2026-09-25.
This page is a published historical simulation for URA — two paired wheel runs, identical inputs, one managed at 21 DTE. On this simulation the 21-Day Rule finished +30.0 pp ahead of holding to expiry.
| Metric | Standard (hold to expiry) | 21-Day Rule | Delta |
|---|---|---|---|
| Total return | -3.5% | 26.5% | +30.0 pp |
| Annualized return | -1.8% | 12.5% | +14.3 pp |
| Buy-and-hold return | 40.6% | 40.6% | 0.0 pp |
| Max drawdown (from peak equity) | 27.3% | 27.4% | +0.1 pp |
| Assignment rate | 27.3% | 25.0% | -2.3 pp |
| Call-away rate | 50.0% | 22.7% | -27.3 pp |
| Average cycle return | -0.3% | 1.3% | — |
| Entry fills priced from real option bars | 47% | 40% | — |
| 21-DTE buy-backs priced from real option bars | — | 36% | — |
Drawdown
Standard max drawdown 27.3% vs rule 27.4% (+0.1 pp).
Assignment
Assignment rate 27.3% standard vs 25.0% rule; call-away 50.0% vs 22.7%.
Fallbacks
The rule arm held 0 of 42 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, 40% of the 21-Day arm's, and 36% 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 +30.0 pp ahead of holding to expiry.
Standard max drawdown 27.3% vs rule 27.4% (+0.1 pp).
Assignment rate 27.3% standard vs 25.0% rule; call-away 50.0% vs 22.7%.
Period 2024-09-27 to 2026-09-25, refreshed 2026-09-27. 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 URA and change DTE, OTM, dates, or the management rule itself.
Standard total return
-3.5%
21-Day total return
26.5%
Rule delta
+30.0 pp
Real-bar entry fills (21-Day arm)
40%
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