Credit Put Spread
Credit Put Spread • Nov 8, 2010 - Dec 10, 2025
Backtest Performance
Backtest Metrics
Backtest Summary
This backtest shows a Credit Put Spread strategy on SPX from Nov 8, 2010 - Dec 10, 2025, placing 1037 trades that stayed open for an average of 23 days. The results were impressive - winning 99.52% of the time (1032 wins vs 5 losses), which shows remarkable consistency. This translated to $1,291,849.00 in total profits. On average, each position made $1,245.76. When annualized, that's a 24.4% return (CAGR), which suggests strong growth potential if maintained over time. The journey was quite volatile though - at its worst, the account was down 27.3%, which would require strong conviction to ride out. With a Sharpe ratio of 28.09, the returns were excellent relative to the risk taken. Notably, the strategy captured 94.6% of the premium sold, which is excellent. 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 |
|---|---|---|---|---|---|---|
| 2010-11-08 | $1.41 | $0.05 | Early Exit | $1,338.70 | 96.47% | |
| 2010-11-09 | $1.32 | $0.05 | Early Exit | $1,241.20 | 96.20% | |
| 2010-11-10 | $1.82 | $0.05 | Early Exit | $1,746.70 | 97.26% | |
| 2010-11-11 | $1.69 | $0.05 | Early Exit | $1,613.10 | 97.04% | |
| 2010-11-12 | $1.12 | $0.05 | Early Exit | $1,048.70 | 95.55% | |
| 2010-12-01 | $1.41 | $0.05 | Early Exit | $1,336.80 | 96.46% | |
| 2010-12-02 | $1.40 | $0.05 | Early Exit | $1,323.20 | 96.43% | |
| 2010-12-03 | $1.37 | $0.05 | Early Exit | $1,290.50 | 96.34% | |
| 2010-12-10 | $1.13 | $0.05 | Early Exit | $1,056.30 | 95.58% | |
| 2010-12-13 | $1.78 | $0.05 | Early Exit | $1,706.20 | 97.19% | |
| 2010-12-31 | $1.33 | $0.05 | Early Exit | $1,258.70 | 96.25% | |
| 2011-01-03 | $1.43 | $0.05 | Early Exit | $1,352.00 | 96.50% | |
| 2011-01-04 | $1.41 | $0.05 | Early Exit | $1,331.30 | 96.45% | |
| 2011-01-05 | $1.47 | $0.05 | Early Exit | $1,394.90 | 96.60% | |
| 2011-01-06 | $1.36 | $0.05 | Early Exit | $1,287.70 | 96.33% | |
| 2011-01-28 | $1.30 | $0.05 | Early Exit | $1,221.20 | 96.15% | |
| 2011-01-31 | $0.96 | $0.05 | Early Exit | $880.00 | 94.77% | |
| 2011-02-01 | $1.35 | $0.05 | Early Exit | $1,272.00 | 96.29% | |
| 2011-02-02 | $0.99 | $0.05 | Early Exit | $916.20 | 94.96% | |
| 2011-02-03 | $1.01 | $0.05 | Early Exit | $929.00 | 95.02% | |
| 2011-02-28 | $1.04 | $0.05 | Early Exit | $959.40 | 95.17% | |
| 2011-03-01 | $1.40 | $0.05 | Early Exit | $1,327.60 | 96.44% | |
| 2011-03-02 | $1.34 | $0.05 | Early Exit | $1,265.30 | 96.27% | |
| 2011-03-03 | $1.30 | $0.05 | Early Exit | $1,221.60 | 96.15% | |
| 2011-03-04 | $1.34 | $0.05 | Early Exit | $1,264.50 | 96.27% | |
| 2011-03-31 | $1.03 | $0.05 | Early Exit | $950.90 | 95.13% | |
| 2011-04-01 | $1.21 | $0.05 | Early Exit | $1,134.40 | 95.87% | |
| 2011-04-04 | $1.37 | $0.05 | Early Exit | $1,289.80 | 96.34% | |
| 2011-04-05 | $0.93 | $0.05 | Early Exit | $853.40 | 94.62% | |
| 2011-04-06 | $1.31 | $0.05 | Early Exit | $1,230.10 | 96.17% | |
| 2011-05-02 | $1.11 | $0.05 | Early Exit | $1,034.30 | 95.50% | |
| 2011-05-03 | $0.94 | $0.05 | Early Exit | $868.60 | 94.71% | |
| 2011-05-04 | $1.18 | $0.05 | Early Exit | $1,100.60 | 95.75% | |
| 2011-05-05 | $1.32 | $0.05 | Early Exit | $1,242.10 | 96.21% | |
| 2011-05-06 | $1.19 | $0.05 | Early Exit | $1,117.40 | 95.81% | |
| 2011-05-31 | $1.16 | $0.05 | Early Exit | $1,082.50 | 95.68% | |
| 2011-06-01 | $1.27 | $0.05 | Early Exit | $1,189.90 | 96.05% | |
| 2011-06-02 | $1.27 | $0.05 | Early Exit | $1,198.60 | 96.08% | |
| 2011-06-03 | $1.10 | $0.05 | Early Exit | $1,027.70 | 95.47% | |
| 2011-06-06 | $1.32 | $0.05 | Early Exit | $1,242.20 | 96.21% | |
| 2011-06-30 | $1.07 | $0.05 | Early Exit | $991.80 | 95.32% | |
| 2011-07-01 | $1.24 | $0.05 | Early Exit | $1,163.60 | 95.97% | |
| 2011-07-05 | $1.38 | $0.05 | Early Exit | $1,308.50 | 96.39% | |
| 2011-07-06 | $1.28 | $0.05 | Early Exit | $1,201.70 | 96.09% | |
| 2011-07-07 | $1.15 | $0.05 | Early Exit | $1,074.60 | 95.65% | |
| 2011-08-02 | $1.54 | $6.22 | Stop Loss | $-4,701.70 | -303.24% | |
| 2011-08-01 | $1.31 | $5.28 | Stop Loss | $-3,997.60 | -303.82% | |
| 2011-08-03 | $1.37 | $0.05 | Early Exit | $1,298.10 | 96.36% | |
| 2011-08-04 | $1.77 | $0.05 | Early Exit | $1,697.30 | 97.18% | |
| 2011-08-05 | $1.60 | $0.05 | Early Exit | $1,527.20 | 96.88% |