Short Strangle
Short Strangle • Nov 8, 2010 - Dec 10, 2025
Backtest Performance
Backtest Metrics
Backtest Summary
This backtest shows a Short Strangle strategy on SPX from Nov 8, 2010 - Dec 10, 2025, placing 194 trades that stayed open for an average of 28 days. The results were impressive - winning 92.27% of the time (179 wins vs 15 losses), which shows remarkable consistency. This translated to $110,845,899.05 in total profits. On average, each position made $571,370.61. When annualized, that's a 36.7% return (CAGR), which suggests strong growth potential if maintained over time. The journey was quite volatile though - at its worst, the account was down 70.6%, which would require strong conviction to ride out. The Sharpe ratio of 1.02 suggests the returns were worth the risk. The strategy managed to keep 64.1% 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 |
|---|---|---|---|---|---|---|
| 2010-11-15 | $3.99 | $0.00 | Expiration | $198,350.00 | 100.00% | |
| 2010-12-20 | $3.75 | $0.00 | Expiration | $237,791.07 | 100.00% | |
| 2011-01-21 | $3.36 | $0.05 | Expiration | $280,499.85 | 98.51% | |
| 2011-02-22 | $4.13 | $0.00 | Expiration | $340,934.37 | 100.00% | |
| 2011-03-21 | $4.03 | $0.00 | Expiration | $400,480.00 | 100.00% | |
| 2011-04-18 | $3.46 | $0.00 | Expiration | $343,340.00 | 100.00% | |
| 2011-05-23 | $3.69 | $0.00 | Expiration | $366,250.00 | 100.00% | |
| 2011-06-20 | $3.83 | $0.00 | Expiration | $380,710.00 | 100.00% | |
| 2011-07-18 | $4.80 | $26.94 | Expiration | $-2,216,340.00 | -460.95% | |
| 2011-08-22 | $7.68 | $0.00 | Expiration | $264,859.54 | 100.00% | |
| 2011-09-19 | $6.70 | $0.00 | Expiration | $317,587.20 | 100.00% | |
| 2011-10-24 | $5.53 | $0.00 | Expiration | $380,703.80 | 100.00% | |
| 2011-11-21 | $5.78 | $0.00 | Expiration | $456,653.22 | 100.00% | |
| 2011-12-19 | $5.17 | $0.00 | Expiration | $513,910.00 | 100.00% | |
| 2012-01-23 | $3.76 | $0.05 | Expiration | $368,700.00 | 98.67% | |
| 2012-02-21 | $3.01 | $0.00 | Expiration | $298,460.00 | 100.00% | |
| 2012-03-19 | $3.99 | $0.00 | Expiration | $396,570.00 | 100.00% | |
| 2012-04-23 | $3.76 | $0.00 | Expiration | $373,030.00 | 100.00% | |
| 2012-05-21 | $4.15 | $0.00 | Expiration | $412,450.00 | 100.00% | |
| 2012-06-18 | $4.00 | $0.00 | Expiration | $397,780.00 | 100.00% | |
| 2012-07-23 | $3.73 | $0.00 | Expiration | $370,300.00 | 100.00% | |
| 2012-08-20 | $3.29 | $0.00 | Expiration | $326,490.00 | 100.00% | |
| 2012-09-14 | $3.45 | $0.00 | Expiration | $342,110.00 | 100.00% | |
| 2012-10-12 | $3.93 | $0.00 | Expiration | $390,830.00 | 100.00% | |
| 2012-11-09 | $4.02 | $0.00 | Expiration | $398,940.00 | 100.00% | |
| 2012-12-07 | $3.88 | $0.00 | Expiration | $385,450.00 | 100.00% | |
| 2013-01-04 | $3.41 | $0.00 | Expiration | $338,450.00 | 100.00% | |
| 2013-02-01 | $3.36 | $0.00 | Expiration | $333,620.00 | 100.00% | |
| 2013-03-01 | $3.91 | $0.00 | Expiration | $388,230.00 | 100.00% | |
| 2013-03-28 | $4.35 | $0.00 | Expiration | $432,680.00 | 100.00% | |
| 2013-04-26 | $5.89 | $15.58 | Expiration | $-971,450.00 | -164.45% | |
| 2013-05-24 | $3.80 | $0.00 | Expiration | $377,250.00 | 100.00% | |
| 2013-06-24 | $3.80 | $26.81 | Expiration | $-2,304,080.00 | -606.42% | |
| 2013-07-22 | $3.74 | $0.00 | Expiration | $371,770.00 | 100.00% | |
| 2013-08-23 | $3.46 | $0.00 | Expiration | $343,100.00 | 100.00% | |
| 2013-09-23 | $3.14 | $0.00 | Expiration | $311,790.00 | 100.00% | |
| 2013-10-21 | $4.56 | $0.00 | Expiration | $453,500.00 | 100.00% | |
| 2013-11-22 | $2.73 | $0.00 | Expiration | $269,980.00 | 100.00% | |
| 2013-12-23 | $3.65 | $0.00 | Expiration | $362,820.00 | 100.00% | |
| 2014-01-24 | $5.91 | $0.00 | Expiration | $587,990.00 | 100.00% | |
| 2014-02-24 | $3.97 | $0.00 | Expiration | $394,030.00 | 100.00% | |
| 2014-03-24 | $6.60 | $0.00 | Expiration | $657,460.00 | 100.00% | |
| 2014-04-25 | $4.23 | $0.00 | Expiration | $420,120.00 | 100.00% | |
| 2014-05-23 | $3.23 | $0.00 | Expiration | $320,210.00 | 100.00% | |
| 2014-06-23 | $4.67 | $0.00 | Expiration | $464,590.00 | 100.00% | |
| 2014-07-25 | $4.43 | $0.00 | Expiration | $440,300.00 | 100.00% | |
| 2014-08-22 | $3.78 | $0.00 | Expiration | $375,540.00 | 100.00% | |
| 2014-09-22 | $5.47 | $0.00 | Expiration | $544,130.00 | 100.00% | |
| 2014-10-24 | $4.40 | $6.69 | Expiration | $-231,520.00 | -52.02% | |
| 2014-11-24 | $3.87 | $0.00 | Expiration | $384,830.00 | 100.00% |