Long Put
Long Put • Feb 10, 2021 - Feb 10, 2026
Backtest Performance
Backtest Metrics
Backtest Summary
This backtest shows a Long Put strategy on SPX from Feb 10, 2021 - Feb 10, 2026, placing 909 trades that stayed open for an average of 2 days. Despite winning only 26.07% of trades (237 vs 672), the winners were big enough to generate $803,604.40 in profits. On average, each position made $884.05. Annualized, that's a 1.6% return (CAGR) - modest but positive. Impressively, the maximum drawdown was only 0.0%, showing excellent risk control. With a Sharpe ratio of 5.09, the returns were excellent relative to the risk taken. Notably, the strategy captured 2,536.1% 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 |
|---|---|---|---|---|---|---|
| 2021-02-10 | $0.24 | $0.05 | Expiration | $-20.58 | -79.41% | |
| 2021-02-16 | $0.19 | $0.00 | Expiration | $-20.18 | -100.00% | |
| 2021-02-17 | $0.23 | $0.05 | Expiration | $-19.48 | -78.43% | |
| 2021-02-19 | $0.29 | $15.79 | Expiration | $1,548.39 | 5,287.24% | |
| 2021-02-22 | $0.27 | $0.05 | Expiration | $-23.60 | -81.68% | |
| 2021-02-24 | $0.16 | $0.05 | Expiration | $-12.60 | -69.33% | |
| 2021-02-26 | $0.45 | $0.00 | Expiration | $-46.34 | -100.00% | |
| 2021-03-01 | $0.33 | $0.05 | Expiration | $-29.57 | -84.97% | |
| 2021-03-03 | $0.38 | $0.05 | Expiration | $-33.86 | -86.69% | |
| 2021-03-05 | $0.23 | $0.00 | Expiration | $-24.42 | -100.00% | |
| 2021-03-08 | $0.23 | $0.05 | Expiration | $-19.68 | -78.61% | |
| 2021-03-10 | $0.36 | $0.05 | Expiration | $-31.84 | -85.93% | |
| 2021-03-12 | $0.32 | $0.00 | Expiration | $-32.95 | -100.00% | |
| 2021-03-17 | $0.28 | $0.05 | Expiration | $-24.21 | -82.09% | |
| 2021-03-19 | $0.17 | $0.05 | Expiration | $-13.13 | -70.29% | |
| 2021-04-01 | $0.48 | $0.05 | Expiration | $-43.99 | -89.52% | |
| 2021-04-09 | $0.29 | $0.00 | Expiration | $-30.79 | -100.00% | |
| 2021-04-12 | $0.24 | $0.05 | Expiration | $-20.63 | -79.45% | |
| 2021-04-14 | $0.23 | $0.05 | Expiration | $-19.66 | -78.60% | |
| 2021-04-21 | $0.32 | $0.05 | Expiration | $-28.26 | -84.36% | |
| 2021-04-23 | $0.16 | $0.00 | Expiration | $-17.45 | -100.00% | |
| 2021-04-26 | $0.31 | $0.05 | Expiration | $-27.59 | -84.02% | |
| 2021-04-28 | $0.28 | $0.05 | Expiration | $-24.74 | -82.42% | |
| 2021-04-30 | $0.19 | $0.00 | Expiration | $-20.57 | -100.00% | |
| 2021-05-05 | $0.19 | $0.05 | Expiration | $-14.85 | -73.05% | |
| 2021-05-07 | $0.22 | $14.00 | Expiration | $1,376.56 | 6,223.40% | |
| 2021-05-10 | $0.31 | $0.05 | Expiration | $-27.15 | -83.79% | |
| 2021-05-12 | $0.28 | $0.05 | Expiration | $-24.59 | -82.33% | |
| 2021-05-14 | $0.17 | $0.00 | Expiration | $-17.81 | -100.00% | |
| 2021-05-17 | $0.28 | $0.05 | Expiration | $-24.18 | -82.07% | |
| 2021-05-19 | $0.34 | $0.05 | Expiration | $-29.85 | -85.10% | |
| 2021-05-21 | $0.27 | $0.00 | Expiration | $-28.41 | -100.00% | |
| 2021-05-26 | $0.28 | $0.05 | Expiration | $-23.90 | -81.88% | |
| 2021-06-02 | $0.21 | $0.05 | Expiration | $-16.85 | -75.67% | |
| 2021-06-04 | $0.16 | $0.00 | Expiration | $-17.70 | -100.00% | |
| 2021-06-16 | $0.40 | $0.05 | Expiration | $-36.40 | -87.53% | |
| 2021-06-18 | $0.27 | $0.00 | Expiration | $-27.82 | -100.00% | |
| 2021-06-21 | $0.17 | $0.05 | Expiration | $-13.31 | -70.61% | |
| 2021-06-25 | $0.20 | $0.00 | Expiration | $-21.05 | -100.00% | |
| 2021-06-30 | $0.18 | $0.05 | Expiration | $-14.04 | -71.82% | |
| 2021-07-02 | $0.24 | $0.05 | Expiration | $-20.76 | -79.56% | |
| 2021-07-07 | $0.16 | $0.05 | Expiration | $-12.04 | -68.23% | |
| 2021-07-09 | $0.17 | $0.00 | Expiration | $-18.20 | -100.00% | |
| 2021-07-16 | $0.23 | $68.49 | Expiration | $6,824.40 | 29,294.85% | |
| 2021-07-19 | $0.45 | $0.05 | Expiration | $-41.54 | -88.95% | |
| 2021-07-23 | $0.15 | $0.00 | Expiration | $-16.48 | -100.00% | |
| 2021-07-28 | $0.19 | $0.05 | Expiration | $-14.80 | -72.97% | |
| 2021-07-30 | $0.19 | $0.00 | Expiration | $-20.19 | -100.00% | |
| 2021-08-02 | $0.15 | $0.05 | Expiration | $-11.64 | -67.41% | |
| 2021-08-04 | $0.31 | $0.05 | Expiration | $-27.30 | -83.87% |