Great work GJ!
Just a reminder to take into account all costs of hedging into your modelling. Time decay when using options, broker fees, upside lost, opportunity cost of funds deployed elsewhere, etc.
If you have the time, would be well worth backtesting your theory including the full costs and working out whether it outperforms simply buying and holding the index. If you do, please share as it would be a great learning tool for readers of this thread.
Cheers
The Big Boys, page-345
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