Long Straddle
Long Straddle • Dec 10, 2024 - Dec 10, 2025
Backtest Performance
Backtest Metrics
Backtest Summary
This backtest shows a Long Straddle strategy on SPY from Dec 10, 2024 - Dec 10, 2025, placing 241 trades that stayed open for an average of 1 days. The results were impressive - winning 77.18% of the time (186 wins vs 55 losses), which shows remarkable consistency. This translated to $6,804,696.00 in total profits. On average, each position made $28,235.25. When annualized, that's a 1,948.4% return (CAGR), which suggests strong growth potential if maintained over time. Impressively, the maximum drawdown was only 3.6%, showing excellent risk control. With a Sharpe ratio of 10.84, the returns were excellent relative to the risk taken. Notably, the strategy captured 235.9% of the premium sold, which is excellent. Bottom line: this strategy looks promising for anyone seeking consistent, well-managed returns.
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Trade Log
| Date | Entry | Exit | Exit Reason | P&L | Return | Action |
|---|---|---|---|---|---|---|
| 2024-12-10 | $0.68 | $4.82 | Expiration | $41,123.00 | 607.06% | |
| 2024-12-11 | $0.55 | $2.78 | Expiration | $22,079.00 | 409.06% | |
| 2024-12-12 | $1.00 | $0.50 | Expiration | $-5,260.00 | -50.00% | |
| 2024-12-16 | $0.63 | $2.82 | Expiration | $21,656.00 | 348.76% | |
| 2024-12-17 | $0.61 | $16.73 | Expiration | $160,920.00 | 2,633.66% | |
| 2024-12-18 | $2.62 | $0.90 | Expiration | $-17,425.00 | -65.60% | |
| 2024-12-19 | $1.64 | $3.74 | Expiration | $20,696.00 | 127.44% | |
| 2024-12-20 | $1.51 | $2.64 | Expiration | $11,072.00 | 75.21% | |
| 2024-12-23 | $1.19 | $5.74 | Expiration | $45,243.00 | 382.47% | |
| 2024-12-24 | $0.68 | $0.05 | Expiration | $-6,550.00 | -92.64% | |
| 2024-12-26 | $0.67 | $9.22 | Expiration | $85,229.00 | 1,273.86% | |
| 2024-12-27 | $1.06 | $3.00 | Expiration | $19,178.00 | 184.04% | |
| 2024-12-30 | $1.14 | $4.04 | Expiration | $28,757.00 | 254.92% | |
| 2024-12-31 | $1.58 | $0.05 | Expiration | $-15,521.00 | -96.83% | |
| 2025-01-02 | $1.41 | $7.55 | Expiration | $61,189.00 | 437.33% | |
| 2025-01-03 | $0.92 | $2.45 | Expiration | $15,057.00 | 166.80% | |
| 2025-01-06 | $0.97 | $6.39 | Expiration | $53,989.00 | 562.11% | |
| 2025-01-07 | $1.31 | $0.91 | Expiration | $-4,224.00 | -30.34% | |
| 2025-01-08 | $1.00 | $0.05 | Expiration | $-9,799.00 | -95.02% | |
| 2025-01-10 | $1.30 | $0.30 | Expiration | $-10,290.00 | -76.98% | |
| 2025-01-13 | $1.04 | $0.32 | Expiration | $-7,434.00 | -69.15% | |
| 2025-01-14 | $1.21 | $13.61 | Expiration | $123,775.00 | 1,028.06% | |
| 2025-01-15 | $0.91 | $1.11 | Expiration | $1,785.00 | 22.58% | |
| 2025-01-16 | $0.80 | $5.26 | Expiration | $44,293.00 | 553.66% | |
| 2025-01-17 | $0.92 | $0.05 | Expiration | $-8,938.00 | -94.55% | |
| 2025-01-21 | $1.00 | $4.98 | Expiration | $39,587.00 | 400.35% | |
| 2025-01-22 | $0.57 | $0.94 | Expiration | $3,428.00 | 64.57% | |
| 2025-01-23 | $0.62 | $0.87 | Expiration | $2,242.00 | 40.37% | |
| 2025-01-24 | $0.81 | $8.70 | Expiration | $78,643.00 | 974.47% | |
| 2025-01-27 | $1.17 | $7.14 | Expiration | $59,451.00 | 510.83% | |
| 2025-01-28 | $0.83 | $3.09 | Expiration | $22,340.00 | 272.29% | |
| 2025-01-29 | $2.18 | $0.56 | Expiration | $-16,506.00 | -74.37% | |
| 2025-01-30 | $1.78 | $1.50 | Expiration | $-3,010.00 | -15.49% | |
| 2025-01-31 | $1.62 | $3.71 | Expiration | $20,647.00 | 129.11% | |
| 2025-02-03 | $1.52 | $3.51 | Expiration | $19,653.00 | 131.12% | |
| 2025-02-04 | $1.77 | $2.14 | Expiration | $3,396.00 | 20.60% | |
| 2025-02-05 | $0.77 | $2.13 | Expiration | $13,349.00 | 176.95% | |
| 2025-02-06 | $1.57 | $4.27 | Expiration | $26,771.00 | 172.51% | |
| 2025-02-07 | $1.06 | $3.78 | Expiration | $26,944.00 | 256.74% | |
| 2025-02-10 | $0.64 | $0.07 | Expiration | $-5,937.00 | -89.02% | |
| 2025-02-11 | $0.65 | $2.14 | Expiration | $14,603.00 | 227.37% | |
| 2025-02-12 | $0.75 | $6.24 | Expiration | $54,665.00 | 734.78% | |
| 2025-02-13 | $0.77 | $0.74 | Expiration | $-606.00 | -4.47% | |
| 2025-02-14 | $0.66 | $0.05 | Expiration | $-6,352.00 | -92.42% | |
| 2025-02-18 | $0.63 | $2.38 | Expiration | $17,276.00 | 279.95% | |
| 2025-02-19 | $0.87 | $2.03 | Expiration | $11,348.00 | 133.55% | |
| 2025-02-20 | $0.79 | $10.09 | Expiration | $92,735.00 | 1,176.41% | |
| 2025-02-21 | $1.18 | $1.28 | Expiration | $736.00 | 8.44% | |
| 2025-02-24 | $0.99 | $4.90 | Expiration | $38,830.00 | 394.45% | |
| 2025-02-25 | $1.40 | $1.17 | Expiration | $-2,527.00 | -16.23% |
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