Credit Put Spread
Credit Put Spread • Dec 10, 2015 - Dec 10, 2025
Backtest Performance
Backtest Metrics
Backtest Summary
This backtest shows a Credit Put Spread strategy on SPX from Dec 10, 2015 - Dec 10, 2025, placing 430 trades that stayed open for an average of 6 days. The results were impressive - winning 71.86% of the time (309 wins vs 121 losses), which shows remarkable consistency. This translated to $1,673,461.66 in total profits. On average, each position made $3,891.77. When annualized, that's a 33.3% return (CAGR), which suggests strong growth potential if maintained over time. The journey was quite volatile though - at its worst, the account was down 70.9%, which would require strong conviction to ride out. The Sharpe ratio of 0.78 shows modest risk-adjusted performance. Overall, this is a viable strategy that could be improved with some fine-tuning.
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Trade Log
| Date | Entry | Exit | Exit Reason | P&L | Return | Action |
|---|---|---|---|---|---|---|
| 2015-12-17 | $17.96 | $0.00 | Expiration | $8,964.85 | 100.00% | |
| 2016-02-25 | $15.20 | $0.00 | Expiration | $10,618.72 | 100.00% | |
| 2016-03-03 | $14.23 | $10.57 | Expiration | $2,905.52 | 25.71% | |
| 2016-03-10 | $15.74 | $0.00 | Expiration | $10,996.44 | 100.00% | |
| 2016-03-17 | $12.73 | $1.72 | Expiration | $10,982.70 | 86.49% | |
| 2016-04-07 | $13.23 | $0.00 | Expiration | $13,207.50 | 100.00% | |
| 2016-04-21 | $10.15 | $0.00 | Expiration | $10,127.30 | 100.00% | |
| 2016-05-05 | $13.35 | $0.00 | Expiration | $13,325.10 | 100.00% | |
| 2016-05-12 | $12.66 | $21.14 | Expiration | $-8,509.60 | -67.03% | |
| 2016-05-19 | $11.68 | $0.00 | Expiration | $11,652.80 | 100.00% | |
| 2016-06-16 | $13.98 | $0.00 | Expiration | $13,950.10 | 100.00% | |
| 2016-06-23 | $16.57 | $41.79 | Expiration | $-25,249.80 | -152.26% | |
| 2016-06-30 | $11.39 | $0.00 | Expiration | $11,363.90 | 100.00% | |
| 2016-07-21 | $9.21 | $0.00 | Expiration | $9,181.50 | 100.00% | |
| 2016-08-04 | $9.79 | $0.00 | Expiration | $9,764.00 | 100.00% | |
| 2016-08-25 | $10.09 | $0.00 | Expiration | $10,060.20 | 100.00% | |
| 2016-09-01 | $11.74 | $0.00 | Expiration | $11,715.70 | 100.00% | |
| 2016-09-08 | $7.31 | $55.17 | Expiration | $-47,889.70 | -655.10% | |
| 2016-09-15 | $16.74 | $0.00 | Expiration | $16,714.50 | 100.00% | |
| 2016-09-29 | $13.59 | $0.00 | Expiration | $13,567.90 | 100.00% | |
| 2016-10-06 | $11.17 | $19.11 | Expiration | $-7,968.70 | -71.12% | |
| 2016-10-13 | $13.80 | $0.00 | Expiration | $13,773.00 | 100.00% | |
| 2016-10-20 | $9.67 | $0.00 | Expiration | $9,639.30 | 100.00% | |
| 2016-10-27 | $13.04 | $33.70 | Expiration | $-20,690.80 | -158.53% | |
| 2016-11-03 | $24.88 | $0.00 | Expiration | $19,881.68 | 100.00% | |
| 2016-11-10 | $12.13 | $0.00 | Expiration | $12,105.00 | 100.00% | |
| 2016-12-01 | $12.88 | $0.00 | Expiration | $12,849.70 | 100.00% | |
| 2016-12-08 | $9.97 | $0.00 | Expiration | $9,946.50 | 100.00% | |
| 2017-01-26 | $6.42 | $15.46 | Expiration | $-9,068.90 | -140.92% | |
| 2017-03-09 | $8.08 | $0.00 | Expiration | $8,051.10 | 100.00% | |
| 2017-03-23 | $13.96 | $0.00 | Expiration | $13,938.20 | 100.00% | |
| 2017-03-30 | $8.99 | $15.16 | Expiration | $-6,198.30 | -68.67% | |
| 2017-04-13 | $9.90 | $0.00 | Expiration | $9,878.00 | 100.00% | |
| 2017-04-20 | $10.53 | $0.00 | Expiration | $10,504.80 | 100.00% | |
| 2017-05-18 | $11.63 | $0.00 | Expiration | $11,603.70 | 100.00% | |
| 2017-07-06 | $11.95 | $0.00 | Expiration | $11,922.60 | 100.00% | |
| 2017-07-27 | $7.98 | $0.00 | Expiration | $7,949.50 | 100.00% | |
| 2017-08-10 | $15.34 | $0.00 | Expiration | $15,311.70 | 100.00% | |
| 2017-08-17 | $13.82 | $0.00 | Expiration | $13,793.80 | 100.00% | |
| 2017-09-07 | $8.02 | $0.00 | Expiration | $7,995.90 | 100.00% | |
| 2017-10-26 | $9.72 | $0.00 | Expiration | $9,690.70 | 100.00% | |
| 2017-11-16 | $6.70 | $0.00 | Expiration | $6,669.00 | 100.00% | |
| 2018-01-25 | $14.00 | $14.89 | Expiration | $-918.50 | -6.38% | |
| 2018-02-01 | $14.87 | $90.00 | Expiration | $-75,157.10 | -505.29% | |
| 2018-02-08 | $27.17 | $0.00 | Expiration | $27,143.00 | 100.00% | |
| 2018-02-15 | $17.28 | $24.60 | Expiration | $-7,341.30 | -42.32% | |
| 2018-02-22 | $18.91 | $0.00 | Expiration | $18,880.20 | 100.00% | |
| 2018-03-01 | $16.23 | $0.00 | Expiration | $16,202.90 | 100.00% | |
| 2018-03-08 | $15.97 | $0.00 | Expiration | $15,945.80 | 100.00% | |
| 2018-03-15 | $14.55 | $36.71 | Expiration | $-22,187.00 | -152.32% |
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