Hello Ron
I am studying a possibility of output different from the system -2 + 3. Although studies tell us that 6 x IM can be enough to hold a position, this does not assure us that the next time it will be equal. A possible closing of the operation at 6 x IM would suppose about 3000 $ of loss by lot. In a situation like this we would lose the gains obtained with 1 lot in 5 years. Too hard to fit. Therefore I thought that a good way to manage the operation could be doing the opposite operation to cover us if the price is close to the short strikes and we reach a loss of 6 x IM. The opposite operation would be with continuous strikes to the originals. Example: -2PUT2190 + 3PUT1875. Once we reach the loss of 6 x IM we cover with + 2PUT2200 -3PUT1880. From here, if the SPX continues to go down, all are benefits. If SPX turns around the loss is practically frozen (6 x IM) but with the advantage that at an appropriate time we can close the coverage and continue managing the initial operation. I think that this exit strategy (no exit) is much more bearable psychologically.
Any comments will be welcome

EDIT: The cover will be +2PUT2200 -3PUT1870

If it continues to go down there are almost no benefits. The one position is offset by the other. You might as well just exit original position.

Hello Ron
I am studying a possibility of output different from the system -2 + 3. Although studies tell us that 6 x IM can be enough to hold a position, this does not assure us that the next time it will be equal. A possible closing of the operation at 6 x IM would suppose about 3000 $ of loss by lot. In a situation like this we would lose the gains obtained with 1 lot in 5 years. Too hard to fit. Therefore I thought that a good way to manage the operation could be doing the opposite operation to cover us if the price is close to the short strikes and we reach a loss of 6 x IM. The opposite operation would be with continuous strikes to the originals. Example: -2PUT2190 + 3PUT1875. Once we reach the loss of 6 x IM we cover with + 2PUT2200 -3PUT1880. From here, if the SPX continues to go down, all are benefits. If SPX turns around the loss is practically frozen (6 x IM) but with the advantage that at an appropriate time we can close the coverage and continue managing the initial operation. I think that this exit strategy (no exit) is much more bearable psychologically.
Any comments will be welcome

EDIT: The cover will be +2PUT2200 -3PUT1870

You will not be able to enter new positions once you reach the loss of 6xIM. Your account balance would be zero.

Hello Ron
I am studying a possibility of output different from the system -2 + 3. Although studies tell us that 6 x IM can be enough to hold a position, this does not assure us that the next time it will be equal. A possible closing of the operation at 6 x IM would suppose about 3000 $ of loss by lot. In a situation like this we would lose the gains obtained with 1 lot in 5 years. Too hard to fit. Therefore I thought that a good way to manage the operation could be doing the opposite operation to cover us if the price is close to the short strikes and we reach a loss of 6 x IM. The opposite operation would be with continuous strikes to the originals. Example: -2PUT2190 + 3PUT1875. Once we reach the loss of 6 x IM we cover with + 2PUT2200 -3PUT1880. From here, if the SPX continues to go down, all are benefits. If SPX turns around the loss is practically frozen (6 x IM) but with the advantage that at an appropriate time we can close the coverage and continue managing the initial operation. I think that this exit strategy (no exit) is much more bearable psychologically.
Any comments will be welcome

EDIT: The cover will be +2PUT2200 -3PUT1870

I am attaching backtesting done on SPX from 2015 to 2018 on TOS for a ratio spread. TOS doesn't allow backtesting of ES and I have still not grasped the concepts of XLS SPAN; I will be working on it. In the past 2-3 months, I found that deltas of options of SPX and ES are almost the same or very close for the same strikes. Hence, I decided to do backtesting on SPX for the ratio spread to get some idea how ES ratio spread could work out till I can use XLS SPAN.
Typically, total premium for the spread on ES is about half of that for SPX. The typical margin for the spread was around $765 in the past few weeks though this will change when market falls. But, I have used these values to calculate the monthly ROI (mROI) for ES based on the SPX profit/loss. TOS shows only end of the day prices for options during backtesting.

The ratio spread is done as follows:
1 long Put at delta = -3 and 3 short Puts at delta = -2 at 90-120 DTE
Exit at 50% of the initial premium or when the current premium is 200% of the initial premium as suggested by James Cordier for stop-loss.
I did not continue backtesting once the 200% stop-loss is hit. I exited the trade at 200% loss and entered a new trade on the same date. Most trades don't have loss; some have losses about $100 which I have not shown in the spreadsheet as these trades eventually became profitable.

TOS backtesting tool doesn't show margin change; hence I could not use the margin for exit criterion.
Hence, how ES ratio spread will work out based on SPX ratio spread may not be very accurate, but I feel, it gives some idea. My apologies if some don't find this useful.
The figures are for non-compounding strategy. The results are based on one position of a ratio spread using 6xIM margin ie 6x$765 for all trades.
(There is a gap between Feb 2016 and March 2016 because I started backtesting first from 18/3/16 till 2018. But then realised that there was a market drop in 2015. So, decided to backtest from 24/2/15.)

The results are as follows:

Profit:
2015 $601 13.09%
2016 $1374.5 29.95%
2017 $1147 24.99%

Average 21.8%
Average mROI is 1.54%.

A backtest without looking at margin change isn't much value. A trader gets kicked out of a trade more often by margin calls than losses on premium.

That mROI is lower than what was made with other strategies.

Doesn't SPX require Reg T margin?

Doesn't SPX require Reg T margin?