Butterfly Spread
Butterfly Spread • Jan 1, 2022 - Jan 7, 2026
Backtest Performance
Backtest Metrics
Backtest Summary
This backtest shows a Butterfly Spread strategy on SPX from Jan 1, 2022 - Jan 7, 2026, placing 145 trades that stayed open for an average of 6 days. Despite winning only 49.66% of trades (72 vs 73), the winners were big enough to generate $81,426.09 in profits. On average, each position made $561.56. When annualized, that's a 73.5% return (CAGR), which suggests strong growth potential if maintained over time. Impressively, the maximum drawdown was only 9.1%, showing excellent risk control. The Sharpe ratio of 0.92 shows modest risk-adjusted performance. Notably, the strategy captured 164.2% of the premium sold, which is excellent. 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 |
|---|---|---|---|---|---|---|
| 2022-01-24 | $1.18 | $2.41 | Stop Loss | $-127.20 | -104.23% | |
| 2022-01-27 | $0.44 | $0.93 | Stop Loss | $-52.79 | -111.42% | |
| 2022-01-28 | $3.12 | $15.00 | Expiration | $1,184.14 | 380.99% | |
| 2022-02-07 | $3.92 | $0.00 | Expiration | $-396.13 | -100.00% | |
| 2022-02-14 | $2.51 | $0.00 | Expiration | $-255.20 | -100.00% | |
| 2022-02-18 | $0.90 | $17.19 | Expiration | $1,624.50 | 1,799.45% | |
| 2022-02-25 | $4.34 | $19.46 | Expiration | $1,508.28 | 348.68% | |
| 2022-03-02 | $1.16 | $0.00 | Expiration | $-119.95 | -100.00% | |
| 2022-03-09 | $0.42 | $0.88 | Stop Loss | $-50.63 | -112.01% | |
| 2022-03-10 | $1.28 | $7.41 | Expiration | $608.90 | 478.45% | |
| 2022-03-16 | $5.00 | $15.00 | Expiration | $996.14 | 200.08% | |
| 2022-03-21 | $3.33 | $15.00 | Expiration | $1,162.98 | 350.42% | |
| 2022-04-11 | $4.76 | $0.00 | Expiration | $-480.29 | -100.00% | |
| 2022-04-18 | $4.14 | $0.00 | Expiration | $-418.29 | -100.00% | |
| 2022-04-25 | $1.19 | $0.00 | Expiration | $-122.70 | -100.00% | |
| 2022-05-02 | $0.67 | $1.39 | Stop Loss | $-75.94 | -107.47% | |
| 2022-05-04 | $1.86 | $0.00 | Expiration | $181.83 | 100.00% | |
| 2022-05-10 | $0.26 | $0.57 | Stop Loss | $-34.88 | -119.32% | |
| 2022-05-16 | $0.73 | $0.00 | Expiration | $-76.69 | -100.00% | |
| 2022-05-23 | $2.16 | $15.00 | Expiration | $1,279.86 | 593.99% | |
| 2022-05-27 | $0.61 | $15.55 | Expiration | $1,489.85 | 2,442.93% | |
| 2022-06-02 | $3.79 | $0.00 | Expiration | $-382.71 | -100.00% | |
| 2022-06-08 | $3.91 | $0.00 | Expiration | $-394.53 | -100.00% | |
| 2022-06-14 | $0.07 | $30.00 | Expiration | $2,988.74 | 41,222.31% | |
| 2022-06-21 | $2.27 | $15.00 | Expiration | $1,269.26 | 561.55% | |
| 2022-06-27 | $3.53 | $0.00 | Expiration | $-357.36 | -100.00% | |
| 2022-07-01 | $4.67 | $14.37 | Expiration | $965.63 | 207.47% | |
| 2022-07-07 | $3.32 | $0.00 | Expiration | $-335.64 | -100.00% | |
| 2022-07-13 | $3.15 | $15.00 | Expiration | $1,180.56 | 375.53% | |
| 2022-07-19 | $5.45 | $19.41 | Expiration | $1,392.50 | 256.47% | |
| 2022-07-25 | $3.18 | $15.00 | Expiration | $1,178.04 | 371.76% | |
| 2022-08-01 | $5.12 | $22.62 | Expiration | $1,745.64 | 341.49% | |
| 2022-08-08 | $4.92 | $15.00 | Expiration | $1,004.48 | 205.18% | |
| 2022-08-15 | $6.71 | $0.00 | Expiration | $-675.21 | -100.00% | |
| 2022-08-22 | $3.29 | $0.00 | Expiration | $-333.01 | -100.00% | |
| 2022-08-29 | $4.51 | $0.00 | Expiration | $-454.97 | -100.00% | |
| 2022-09-02 | $4.47 | $12.37 | Expiration | $786.44 | 177.01% | |
| 2022-09-08 | $4.04 | $0.00 | Expiration | $-407.94 | -100.00% | |
| 2022-09-14 | $3.78 | $0.00 | Expiration | $-381.51 | -100.00% | |
| 2022-09-20 | $0.72 | $0.00 | Expiration | $-75.91 | -100.00% | |
| 2022-09-26 | $0.42 | $10.96 | Expiration | $1,050.15 | 2,518.88% | |
| 2022-10-03 | $1.66 | $0.00 | Expiration | $-170.04 | -100.00% | |
| 2022-10-10 | $0.82 | $29.74 | Expiration | $2,888.11 | 3,531.70% | |
| 2022-10-17 | $1.61 | $15.00 | Expiration | $1,334.70 | 829.94% | |
| 2022-10-24 | $1.32 | $9.89 | Expiration | $853.15 | 650.09% | |
| 2022-10-31 | $0.92 | $0.00 | Expiration | $-95.92 | -100.00% | |
| 2022-11-07 | $1.09 | $15.00 | Expiration | $1,386.70 | 1,272.37% | |
| 2022-11-14 | $3.85 | $0.00 | Expiration | $-388.74 | -100.00% | |
| 2022-11-28 | $4.45 | $30.00 | Expiration | $2,551.14 | 574.37% | |
| 2022-12-05 | $6.26 | $0.00 | Expiration | $-630.21 | -100.00% |