But once you start running it, you will notice that some undetectable behavior makes you lose money on the trade. And your back-testing cannot fully detect that. It's more intricate than it seems. It's not just the volatility of the upside or the downside, it's the volatility around a particular strike that has a large open interest. The markets tend to compress in variation around these strikes.
Good traders can sense that.
Also when you buy a stock warrant on an illiquid stock, you need to take into account that your own dynamic hedging, added to that of other dynamic hedgers, will reduce the volatility and stabilize the stock. I was obsessed with price formation. I couldn't understand from the screen how prices were determined. It took me six months to be able to read prices in the pit. Locals basically read information from the order flow and squeezed the weak party.