Buy a SPAC - most trading at a discount to trust & yielding 4%. Spend most/all of the 4% on puts on BKLN, whether 1% per qtr, or 4% for a 1yr put. Your long is t-bills in a box with a free option on a SPAC acquisition the market may like. Your short is B rated loans near par.
Principles of rigorous backtesting. I'm at the point where I think backtesting has no positive edge - but failing to do it well can lose you a lot of money. See a lot of examples of absolute amateur hour backtesting on this site. A thread: