Here was the backtest results for the PC3 original adaption which sold a static amount/value of NPs at a delta regardless of actual cost of BSH. It of course did well in up years (and handled Aug 24 well) but during Sep 2014 it did poorly (The only negative month). Adjusting this to just enough NPs to cover cost of BSH was also backtested but I don’t have the results on this computer. It did better during markets like 2014 Sep/Oct.
Just look at those results.
I managed the STT separately once launched. I’d do the standard adjustments which are – rolling if close to structure, adding ICs to flatten deltas in down moves, adding PDS alone, or adding in PCS (harvesting as well) on big up moves against profit bubble.