I am an options trader with moderate experience, far less than many on here. I have both bought and sold options and, of course, have experienced both wins and losses with these strategies. I have not backtested anything but I have to say that I believe that selling premium is the better way to go. The time I may disagree with that is if you are a rank beginner, where buying options may be the way to go due to the defined risk. It is my opinion that if someone has not mastered the mechanics of managing a trade or the emotions that come with dealing with a trade going against you (more likely with a beginner), than the defined risk of buying an option is better.
For the more experienced options trader, I feel that selling premium is the way to go, for many of the reasons stated previously. If I like a stock, I may sell a put on it to get it at a better price. If I don't get it, I have at least received a premium. The trade can go against me a bit if I am out of the money and I can still win. If I am assigned and the stock continues to go down, how is that any riskier than if I had bought the stock outright? If I am selling a put on a stock, I choose one with a good dividend so if I am assigned and the stock goes down, at least I am receiving something.
If I buy a call and the underlying goes nowhere I lose money, being subject to time decay. If I am a beginner, it is a way to learn without much risk. I would invest only a small amount in this strategy. If I sell a put, I can win even if it goes against me but I must learn the mechanics of how to manage a losing trade. No one should be selling premium without understanding this. It used to scare me (it still does a bit but I am more experienced now) and it is important to thoroughly review an exit strategy before a trade is made.
Feeling bullish: sell puts or do credit put spreads on a major ETF. Feeling bearish: sell credit call spreads on a major ETF. Feeling neutral: sell covered calls on a stock or ETF that you own. I never advocate selling naked calls. I do call spreads a few days out on the major ETFs. I put a stop on these to cap my loss.
In summary, I think selling premium is a better strategy for those with some experience and this can be done in any market.