Short Straddle
Short Straddle • Dec 10, 2020 - May 10, 2026
Backtest Performance
Backtest Metrics
Backtest Summary
This backtest shows a Short Straddle strategy on SPX from Dec 10, 2020 - May 10, 2026, placing 51 trades that stayed open for an average of 53 days. The results were impressive - winning 100% of the time (51 wins vs 0 losses), which shows remarkable consistency. This translated to $838,915.01 in total profits. On average, each position made $16,449.31. When annualized, that's a 51.3% return (CAGR), which suggests strong growth potential if maintained over time. The account experienced a 13.4% drawdown at its lowest point, which is moderate but manageable. With a Sharpe ratio of 10.42, the returns were excellent relative to the risk taken. The strategy managed to keep 76.5% of the premium collected. 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 |
|---|---|---|---|---|---|---|
| 2020-12-11 | $30.64 | $15.37 | Take Profit | $9,146.76 | 49.84% | |
| 2021-01-15 | $31.05 | $15.58 | Take Profit | $10,814.83 | 49.84% | |
| 2021-02-19 | $34.08 | $17.09 | Take Profit | $11,874.07 | 49.85% | |
| 2021-03-19 | $26.78 | $13.44 | Take Profit | $11,981.66 | 49.81% | |
| 2021-04-23 | $18.69 | $0.05 | Days In Trade | $18,611.40 | 99.73% | |
| 2021-05-28 | $17.69 | $0.05 | Days In Trade | $17,614.00 | 99.72% | |
| 2021-07-02 | $17.33 | $0.05 | Days In Trade | $17,256.70 | 99.71% | |
| 2021-08-06 | $18.68 | $0.05 | Days In Trade | $18,604.80 | 99.73% | |
| 2021-09-10 | $22.59 | $0.05 | Days In Trade | $22,515.80 | 99.78% | |
| 2021-10-15 | $22.53 | $11.31 | Take Profit | $11,188.20 | 49.78% | |
| 2021-11-19 | $26.66 | $0.05 | Days In Trade | $26,579.10 | 99.81% | |
| 2022-01-28 | $41.44 | $20.77 | Take Profit | $20,643.40 | 49.88% | |
| 2022-03-04 | $45.72 | $22.91 | Take Profit | $22,785.60 | 49.89% | |
| 2022-05-13 | $42.68 | $21.39 | Take Profit | $21,263.20 | 49.88% | |
| 2022-04-08 | $24.04 | $0.05 | Days In Trade | $23,964.40 | 99.79% | |
| 2022-06-17 | $42.72 | $21.41 | Take Profit | $21,281.50 | 49.88% | |
| 2022-07-22 | $25.59 | $12.85 | Take Profit | $12,719.15 | 49.80% | |
| 2022-09-30 | $40.10 | $20.10 | Take Profit | $19,973.50 | 49.88% | |
| 2022-08-26 | $25.66 | $0.05 | Days In Trade | $25,586.40 | 99.81% | |
| 2022-11-04 | $21.75 | $10.93 | Take Profit | $10,800.45 | 49.77% | |
| 2023-01-13 | $15.56 | $7.83 | Take Profit | $7,702.40 | 49.68% | |
| 2022-12-09 | $15.49 | $0.05 | Days In Trade | $15,411.70 | 99.68% | |
| 2023-03-17 | $27.80 | $13.95 | Take Profit | $13,823.85 | 49.82% | |
| 2023-02-17 | $16.67 | $0.05 | Days In Trade | $16,589.40 | 99.70% | |
| 2023-05-26 | $15.49 | $7.79 | Take Profit | $7,667.30 | 49.68% | |
| 2023-04-21 | $16.20 | $0.05 | Days In Trade | $16,128.90 | 99.69% | |
| 2023-06-30 | $9.82 | $0.05 | Days In Trade | $9,748.00 | 99.49% | |
| 2023-08-04 | $14.19 | $0.05 | Days In Trade | $14,109.80 | 99.65% | |
| 2023-09-08 | $8.47 | $0.05 | Days In Trade | $8,398.60 | 99.41% | |
| 2023-10-13 | $17.69 | $0.05 | Days In Trade | $17,613.70 | 99.72% | |
| 2023-11-17 | $10.26 | $0.05 | Days In Trade | $10,183.20 | 99.51% | |
| 2023-12-22 | $12.12 | $0.05 | Days In Trade | $12,043.10 | 99.59% | |
| 2024-01-26 | $10.53 | $0.05 | Days In Trade | $10,454.20 | 99.53% | |
| 2024-03-01 | $12.04 | $0.05 | Days In Trade | $11,966.70 | 99.58% | |
| 2024-04-05 | $12.34 | $0.05 | Days In Trade | $12,260.70 | 99.59% | |
| 2024-05-10 | $9.34 | $0.05 | Days In Trade | $9,260.50 | 99.46% | |
| 2024-06-14 | $12.47 | $0.05 | Days In Trade | $12,392.70 | 99.60% | |
| 2024-07-19 | $16.16 | $0.05 | Days In Trade | $16,081.40 | 99.69% | |
| 2024-08-23 | $18.27 | $0.05 | Days In Trade | $18,197.50 | 99.73% | |
| 2024-11-01 | $26.84 | $13.47 | Take Profit | $13,342.65 | 49.81% | |
| 2024-09-27 | $18.83 | $0.05 | Days In Trade | $18,750.90 | 99.73% | |
| 2024-12-06 | $13.62 | $0.05 | Days In Trade | $13,540.60 | 99.63% | |
| 2025-01-10 | $25.44 | $0.05 | Days In Trade | $25,360.90 | 99.80% | |
| 2025-02-14 | $17.64 | $0.05 | Days In Trade | $17,566.50 | 99.72% | |
| 2025-03-14 | $26.43 | $0.05 | Days In Trade | $26,355.70 | 99.81% | |
| 2025-05-23 | $27.89 | $14.00 | Take Profit | $13,869.90 | 49.82% | |
| 2025-06-27 | $19.60 | $0.05 | Days In Trade | $19,520.80 | 99.74% | |
| 2025-08-01 | $28.62 | $0.05 | Days In Trade | $28,542.30 | 99.83% | |
| 2025-10-10 | $28.14 | $14.12 | Take Profit | $13,994.70 | 49.82% | |
| 2025-09-05 | $18.56 | $0.05 | Days In Trade | $18,481.10 | 99.73% |