Agree with jpresser that it is better going out further out in time. I have backed-tested and do trade this real time on the SPX and spy. The gamma gets kind of big at 50 dte and 70 to 80 dte seems nice. When there is a sudden drop in the market and it is down to say 30-50 days left, it seems that often it is better to take it off or re-position a new trade out in time. I tried this numerous times for data from 2007 and it often does not make much sense to hang in for drops that keep dropping. Some people speak negatively regarding, however I have learned a lot doing this. Below is my 7th back testing of the trade assuming a fixed amount of $3 - 3.5K per trade. There are certain scenarios where the trade does not do well. In a bear market, I have found it does not do well and the large continuation of drops do hurt. Use of a set of moving averages (assuming they work) does help the trade. As time goes forward the power of the long puts deteriorate and pulling them in helps bring in more credit as well as the lower put which provides some protection when moved up. This has the addition effect of reducing the amount of margin.