Calendar Spread
Calendar Spread • Dec 10, 2024 - Dec 10, 2025
Backtest Performance
Backtest Metrics
Backtest Summary
This backtest shows a Calendar Spread strategy on SPX from Dec 10, 2024 - Dec 10, 2025, placing 226 trades that stayed open for an average of 1 days. Despite winning only 23.01% of trades (52 vs 174), the winners were big enough to generate $470,536.17 in profits. On average, each position made $2,082.02. When annualized, that's a 471.2% return (CAGR), which suggests strong growth potential if maintained over time. The journey was quite volatile though - at its worst, the account was down 99.6%, which would require strong conviction to ride out. With a Sharpe ratio of 4.31, the returns were excellent relative to the risk taken. The strategy managed to keep 69.7% of the premium collected. While it made money, there's definitely room to improve the consistency and risk management here.
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Trade Log
| Date | Entry | Exit | Exit Reason | P&L | Return | Action |
|---|---|---|---|---|---|---|
| 2024-12-10 | $1.21 | $40.00 | Expiration | $38,759.20 | 3,192.72% | |
| 2024-12-11 | $0.20 | $0.00 | Expiration | $-230.20 | -100.00% | |
| 2024-12-13 | $0.10 | $0.00 | Expiration | $-126.00 | -100.00% | |
| 2024-12-16 | $0.21 | $0.00 | Expiration | $-233.60 | -100.00% | |
| 2024-12-17 | $2.64 | $0.00 | Expiration | $-2,669.40 | -100.00% | |
| 2024-12-18 | $15.50 | $0.00 | Expiration | $-15,524.70 | -100.00% | |
| 2024-12-19 | $8.99 | $20.00 | Expiration | $10,984.70 | 122.49% | |
| 2024-12-20 | $0.10 | $0.00 | Expiration | $-126.00 | -100.00% | |
| 2024-12-23 | $1.02 | $35.00 | Expiration | $33,957.00 | 3,341.49% | |
| 2024-12-24 | $0.10 | $0.05 | Expiration | $-76.00 | -50.00% | |
| 2024-12-26 | $0.72 | $0.00 | Expiration | $-742.00 | -100.00% | |
| 2024-12-27 | $0.10 | $0.00 | Expiration | $-126.00 | -100.00% | |
| 2024-12-30 | $6.81 | $0.00 | Expiration | $-6,834.40 | -100.00% | |
| 2024-12-31 | $0.10 | $0.05 | Expiration | $-76.00 | -50.00% | |
| 2025-01-02 | $7.43 | $15.00 | Expiration | $7,544.00 | 101.88% | |
| 2025-01-03 | $0.10 | $0.00 | Expiration | $-126.00 | -100.00% | |
| 2025-01-06 | $2.75 | $0.00 | Expiration | $-2,777.60 | -100.00% | |
| 2025-01-07 | $5.75 | $0.00 | Expiration | $-5,772.10 | -100.00% | |
| 2025-01-08 | $0.11 | $0.05 | Expiration | $-88.40 | -55.52% | |
| 2025-01-10 | $0.10 | $0.00 | Expiration | $-126.00 | -100.00% | |
| 2025-01-13 | $6.73 | $0.00 | Expiration | $-6,753.30 | -100.00% | |
| 2025-01-14 | $14.78 | $25.00 | Expiration | $10,197.60 | 69.19% | |
| 2025-01-15 | $3.18 | $0.00 | Expiration | $-3,206.00 | -100.00% | |
| 2025-01-16 | $3.38 | $40.00 | Expiration | $36,597.60 | 1,084.69% | |
| 2025-01-17 | $0.10 | $0.05 | Expiration | $-76.00 | -50.00% | |
| 2025-01-21 | $1.08 | $36.68 | Expiration | $35,572.40 | 3,291.27% | |
| 2025-01-22 | $0.60 | $2.05 | Expiration | $1,424.70 | 242.07% | |
| 2025-01-23 | $0.25 | $0.00 | Expiration | $-278.10 | -100.00% | |
| 2025-01-24 | $0.10 | $0.00 | Expiration | $-126.00 | -100.00% | |
| 2025-01-27 | $4.06 | $30.00 | Expiration | $25,910.70 | 638.32% | |
| 2025-01-28 | $3.02 | $0.00 | Expiration | $-3,041.60 | -100.00% | |
| 2025-01-29 | $7.69 | $0.00 | Expiration | $-7,720.00 | -100.00% | |
| 2025-01-30 | $5.94 | $0.00 | Expiration | $-5,963.80 | -100.00% | |
| 2025-01-31 | $0.10 | $0.00 | Expiration | $-126.00 | -100.00% | |
| 2025-02-03 | $7.92 | $5.85 | Expiration | $-2,097.80 | -26.15% | |
| 2025-02-04 | $4.24 | $1.31 | Expiration | $-2,954.80 | -69.10% | |
| 2025-02-05 | $1.54 | $7.43 | Expiration | $5,864.70 | 382.69% | |
| 2025-02-06 | $4.28 | $0.00 | Expiration | $-4,301.80 | -100.00% | |
| 2025-02-07 | $0.10 | $0.00 | Expiration | $-126.00 | -100.00% | |
| 2025-02-10 | $1.17 | $0.00 | Expiration | $-1,198.60 | -100.00% | |
| 2025-02-11 | $3.34 | $0.00 | Expiration | $-3,364.70 | -100.00% | |
| 2025-02-12 | $1.76 | $35.00 | Expiration | $33,218.00 | 1,893.17% | |
| 2025-02-13 | $0.60 | $0.00 | Expiration | $-628.90 | -100.00% | |
| 2025-02-14 | $0.10 | $0.05 | Expiration | $-76.00 | -50.00% | |
| 2025-02-18 | $0.49 | $14.10 | Expiration | $13,580.60 | 2,757.72% | |
| 2025-02-19 | $0.38 | $0.00 | Expiration | $-401.80 | -100.00% | |
| 2025-02-20 | $1.05 | $0.00 | Expiration | $-1,077.50 | -100.00% | |
| 2025-02-21 | $0.10 | $0.00 | Expiration | $-126.00 | -100.00% | |
| 2025-02-25 | $4.81 | $0.00 | Expiration | $-4,831.70 | -100.00% | |
| 2025-02-26 | $9.88 | $0.00 | Expiration | $-9,908.70 | -100.00% |