Differential Evolution Optimization of the Broken Wing Butterfly Option Strategy
Bibliographic record
Abstract
The Broken Wing Butterfly (BWB) has become a popular options strategy for traders. Profit is generated primarily by exploiting option value time decay. In this paper the selection of the option strikes to be used along with trade entry and exit parameters, such as time to expiration and profit and loss targets, are optimized using over a decade of historical option data of the S & P 500 exchange traded fund (symbol: SPY). The importance of selecting an optimal strike mapping method, by which strikes are assigned in any time period, is highlighted. Of the three methods considered, the normalized strike mapping method was found to be optimal. Optimization was performed using a differential evolution (DE) evolutionary algorithm. The objective function used for optimization considered final cumulative profit, volatility, and maximum equity drawdown while achieving a high trade win rate. A trade example is given to illustrate the use of the obtained results.
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How this classification was reachedexpand
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.000 | 0.000 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.000 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one teacher head, not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".