Long Straddle
Long Straddle • Dec 10, 2020 - Dec 10, 2025
Backtest Performance
Backtest Metrics
Backtest Summary
This backtest shows a Long Straddle strategy on SPY from Dec 10, 2020 - Dec 10, 2025, placing 1137 trades that stayed open for an average of 51 days. The results were impressive - winning 94.72% of the time (1077 wins vs 60 losses), which shows remarkable consistency. This translated to $809,249.49 in total profits. On average, each position made $711.74. When annualized, that's a 55.5% return (CAGR), which suggests strong growth potential if maintained over time. The account experienced a 10.4% drawdown at its lowest point, which is moderate but manageable. With a Sharpe ratio of 21.29, the returns were excellent relative to the risk taken. The strategy managed to keep 56.3% 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 |
|---|---|---|---|---|---|---|
| 2020-12-10 | $9.34 | $4.72 | Take Profit | $459.63 | 49.46% | |
| 2020-12-23 | $7.92 | $4.01 | Take Profit | $388.46 | 49.37% | |
| 2021-01-07 | $5.14 | $2.62 | Take Profit | $249.24 | 49.03% | |
| 2021-01-27 | $11.98 | $6.04 | Take Profit | $591.57 | 49.58% | |
| 2021-01-08 | $6.72 | $3.41 | Take Profit | $328.51 | 49.26% | |
| 2021-02-01 | $15.13 | $7.62 | Take Profit | $749.14 | 49.67% | |
| 2020-12-16 | $8.38 | $4.24 | Take Profit | $411.18 | 49.40% | |
| 2020-12-29 | $7.05 | $3.58 | Take Profit | $344.92 | 49.29% | |
| 2021-01-28 | $12.98 | $6.54 | Take Profit | $641.16 | 49.61% | |
| 2020-12-11 | $13.45 | $6.97 | Early Exit | $645.18 | 48.16% | |
| 2020-12-14 | $8.26 | $4.18 | Take Profit | $405.24 | 49.39% | |
| 2020-12-15 | $10.30 | $6.36 | Early Exit | $391.65 | 38.27% | |
| 2020-12-17 | $10.12 | $5.11 | Take Profit | $498.54 | 49.51% | |
| 2020-12-18 | $12.86 | $11.58 | Early Exit | $125.91 | 9.99% | |
| 2020-12-21 | $19.01 | $19.44 | Early Exit | $-45.68 | -2.27% | |
| 2020-12-22 | $10.72 | $5.99 | Early Exit | $469.84 | 44.07% | |
| 2020-12-24 | $15.35 | $12.52 | Early Exit | $280.89 | 18.47% | |
| 2020-12-31 | $13.38 | $6.74 | Take Profit | $661.21 | 49.63% | |
| 2021-01-06 | $11.45 | $5.78 | Take Profit | $564.96 | 49.56% | |
| 2021-02-02 | $8.32 | $4.21 | Take Profit | $408.26 | 49.40% | |
| 2021-01-05 | $13.57 | $6.83 | Take Profit | $670.89 | 49.63% | |
| 2021-01-14 | $11.13 | $5.62 | Take Profit | $549.05 | 49.55% | |
| 2021-01-26 | $8.44 | $4.27 | Take Profit | $414.63 | 49.41% | |
| 2021-01-29 | $8.50 | $4.30 | Take Profit | $417.37 | 49.41% | |
| 2020-12-30 | $12.63 | $6.37 | Take Profit | $623.94 | 49.60% | |
| 2021-01-04 | $12.13 | $6.11 | Take Profit | $598.73 | 49.59% | |
| 2021-01-11 | $17.04 | $8.57 | Take Profit | $844.40 | 49.71% | |
| 2021-01-13 | $13.19 | $6.64 | Take Profit | $651.86 | 49.62% | |
| 2021-01-19 | $9.31 | $4.71 | Take Profit | $458.04 | 49.46% | |
| 2021-01-25 | $13.85 | $6.98 | Take Profit | $684.94 | 49.64% | |
| 2021-01-22 | $11.13 | $5.62 | Take Profit | $548.97 | 49.55% | |
| 2021-02-03 | $12.26 | $6.18 | Take Profit | $605.62 | 49.59% | |
| 2020-12-28 | $14.68 | $0.05 | Early Exit | $1,460.69 | 99.66% | |
| 2021-01-21 | $16.28 | $8.19 | Take Profit | $806.38 | 49.69% | |
| 2021-02-05 | $13.35 | $6.73 | Take Profit | $660.01 | 49.63% | |
| 2021-02-10 | $13.37 | $6.73 | Take Profit | $660.82 | 49.63% | |
| 2021-02-22 | $8.74 | $4.42 | Take Profit | $429.24 | 49.43% | |
| 2021-01-15 | $15.44 | $7.77 | Take Profit | $764.56 | 49.68% | |
| 2021-02-04 | $13.70 | $6.90 | Take Profit | $677.29 | 49.63% | |
| 2021-01-20 | $14.39 | $7.25 | Take Profit | $711.94 | 49.65% | |
| 2021-02-08 | $11.87 | $5.99 | Take Profit | $585.95 | 49.58% | |
| 2021-02-09 | $13.28 | $6.69 | Take Profit | $656.44 | 49.62% | |
| 2021-02-12 | $14.36 | $7.23 | Take Profit | $710.29 | 49.65% | |
| 2021-02-17 | $15.71 | $7.91 | Take Profit | $778.10 | 49.68% | |
| 2021-02-19 | $12.93 | $6.51 | Take Profit | $638.69 | 49.61% | |
| 2021-02-23 | $11.14 | $5.62 | Take Profit | $549.33 | 49.55% | |
| 2021-02-24 | $10.14 | $5.12 | Take Profit | $499.15 | 49.51% | |
| 2021-01-12 | $22.26 | $11.18 | Take Profit | $1,105.38 | 49.78% | |
| 2021-02-11 | $22.40 | $11.25 | Take Profit | $1,112.57 | 49.78% | |
| 2021-03-05 | $9.21 | $4.66 | Take Profit | $452.99 | 49.46% |