Calendar Spread
Calendar Spread • Dec 10, 2020 - Dec 10, 2025
Backtest Performance
Backtest Metrics
Backtest Summary
This backtest shows a Calendar Spread strategy on IWM from Dec 10, 2020 - Dec 10, 2025, placing 10 trades that stayed open for an average of 2 days. Unfortunately, things didn't work out - winning only 0% of trades (0 winners vs 10 losers) the strategy finished down $1,010.00. On average, each trade lost $101.00. The journey was quite volatile though - at its worst, the account was down 103.8%, which would require strong conviction to ride out. The negative Sharpe ratio (-4.13) confirms the risk wasn't justified by the results. This one needs a rethink - the numbers suggest significant changes would be needed to make it work.
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Trade Log
| Date | Entry | Exit | Exit Reason | P&L | Return | Action |
|---|---|---|---|---|---|---|
| 2020-12-10 | $0.10 | $0.00 | Expiration | $-126.00 | -100.00% | |
| 2020-12-11 | $0.10 | $0.05 | Expiration | $-76.00 | -50.00% | |
| 2020-12-17 | $0.10 | $0.00 | Expiration | $-126.00 | -100.00% | |
| 2020-12-18 | $0.10 | $0.05 | Expiration | $-76.00 | -50.00% | |
| 2020-12-23 | $0.10 | $0.00 | Expiration | $-126.00 | -100.00% | |
| 2020-12-24 | $0.10 | $0.05 | Expiration | $-76.00 | -50.00% | |
| 2020-12-30 | $0.10 | $0.00 | Expiration | $-126.00 | -100.00% | |
| 2020-12-31 | $0.10 | $0.05 | Expiration | $-76.00 | -50.00% | |
| 2021-01-07 | $0.10 | $0.00 | Expiration | $-126.00 | -100.00% | |
| 2021-01-08 | $0.10 | $0.05 | Expiration | $-76.00 | -50.00% |