Long Straddle
Long Straddle • Dec 10, 2020 - Dec 10, 2025
Backtest Performance
Backtest Metrics
Backtest Summary
This backtest shows a Long Straddle strategy on SPX from Dec 10, 2020 - Dec 10, 2025, placing 92 trades that stayed open for an average of 43 days. The results were impressive - winning 96.74% of the time (89 wins vs 3 losses), which shows remarkable consistency. This translated to $496,737.64 in total profits. On average, each position made $5,399.32. When annualized, that's a 43.0% return (CAGR), which suggests strong growth potential if maintained over time. The account experienced a 18.7% drawdown at its lowest point, which is moderate but manageable. With a Sharpe ratio of 5.01, the returns were excellent relative to the risk taken. The strategy managed to keep 54.4% 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 |
|---|---|---|---|---|---|---|
| 2021-01-06 | $89.06 | $44.58 | Take Profit | $4,445.29 | 49.94% | |
| 2021-03-01 | $101.85 | $50.97 | Take Profit | $5,084.84 | 49.95% | |
| 2021-03-30 | $81.40 | $40.75 | Take Profit | $4,062.26 | 49.94% | |
| 2021-05-21 | $87.52 | $43.81 | Take Profit | $4,368.50 | 49.94% | |
| 2021-06-17 | $112.38 | $0.05 | Early Exit | $11,230.22 | 99.96% | |
| 2021-08-30 | $117.93 | $59.01 | Take Profit | $5,888.80 | 49.96% | |
| 2021-10-18 | $106.64 | $98.10 | Early Exit | $852.01 | 8.01% | |
| 2021-12-31 | $128.86 | $64.48 | Take Profit | $6,435.26 | 49.96% | |
| 2022-02-09 | $96.54 | $48.32 | Take Profit | $4,819.37 | 49.95% | |
| 2022-03-25 | $95.25 | $47.67 | Take Profit | $4,754.82 | 49.95% | |
| 2022-04-19 | $139.66 | $0.05 | Early Exit | $13,958.13 | 99.96% | |
| 2022-07-29 | $61.63 | $30.87 | Take Profit | $3,074.00 | 49.92% | |
| 2022-08-05 | $69.44 | $0.05 | Early Exit | $6,936.31 | 99.93% | |
| 2022-08-29 | $88.95 | $44.53 | Take Profit | $4,440.14 | 49.94% | |
| 2022-10-25 | $97.80 | $48.95 | Take Profit | $4,882.28 | 49.95% | |
| 2022-10-26 | $73.37 | $36.73 | Take Profit | $3,660.70 | 49.93% | |
| 2022-11-11 | $99.57 | $49.84 | Take Profit | $4,971.15 | 49.95% | |
| 2022-11-28 | $67.23 | $33.66 | Take Profit | $3,353.83 | 49.93% | |
| 2022-12-05 | $119.84 | $59.97 | Take Profit | $5,984.58 | 49.96% | |
| 2023-01-09 | $84.49 | $42.30 | Take Profit | $4,217.14 | 49.94% | |
| 2023-01-06 | $105.41 | $52.76 | Take Profit | $5,263.02 | 49.95% | |
| 2023-01-25 | $70.97 | $35.54 | Take Profit | $3,541.08 | 49.93% | |
| 2023-02-17 | $68.40 | $34.25 | Take Profit | $3,412.32 | 49.93% | |
| 2023-02-28 | $87.60 | $43.85 | Take Profit | $4,372.57 | 49.94% | |
| 2023-03-29 | $88.91 | $44.50 | Take Profit | $4,437.69 | 49.94% | |
| 2023-04-03 | $77.09 | $38.59 | Take Profit | $3,846.76 | 49.94% | |
| 2023-04-18 | $104.16 | $52.13 | Take Profit | $5,200.52 | 49.95% | |
| 2023-05-05 | $44.67 | $22.38 | Take Profit | $2,225.76 | 49.89% | |
| 2023-05-01 | $75.90 | $38.00 | Take Profit | $3,787.43 | 49.93% | |
| 2023-05-31 | $142.90 | $0.05 | Early Exit | $14,282.19 | 99.97% | |
| 2023-06-01 | $89.24 | $0.05 | Early Exit | $8,915.97 | 99.94% | |
| 2023-08-10 | $163.98 | $82.04 | Take Profit | $8,191.58 | 49.97% | |
| 2023-08-18 | $77.86 | $38.98 | Take Profit | $3,885.35 | 49.94% | |
| 2023-09-15 | $101.14 | $50.62 | Take Profit | $5,049.42 | 49.95% | |
| 2023-09-13 | $142.19 | $71.15 | Take Profit | $7,101.92 | 49.96% | |
| 2023-11-03 | $75.24 | $37.67 | Take Profit | $3,754.40 | 49.93% | |
| 2023-12-04 | $54.29 | $27.20 | Take Profit | $2,707.14 | 49.91% | |
| 2023-11-06 | $133.96 | $0.05 | Early Exit | $13,388.75 | 99.96% | |
| 2023-11-08 | $62.76 | $0.05 | Early Exit | $6,268.37 | 99.92% | |
| 2024-01-10 | $50.11 | $25.11 | Take Profit | $2,498.14 | 49.90% | |
| 2023-12-29 | $69.90 | $0.05 | Early Exit | $6,982.60 | 99.93% | |
| 2024-03-08 | $48.94 | $24.52 | Take Profit | $2,439.56 | 49.90% | |
| 2024-01-12 | $175.04 | $0.05 | Early Exit | $17,496.41 | 99.97% | |
| 2024-02-28 | $56.61 | $28.36 | Take Profit | $2,822.92 | 49.91% | |
| 2024-04-01 | $85.10 | $42.60 | Take Profit | $4,247.61 | 49.94% | |
| 2024-04-03 | $101.65 | $50.87 | Take Profit | $5,074.75 | 49.95% | |
| 2024-03-27 | $75.54 | $37.82 | Take Profit | $3,769.16 | 49.93% | |
| 2024-05-17 | $79.91 | $40.00 | Take Profit | $3,987.73 | 49.94% | |
| 2024-04-24 | $60.01 | $0.05 | Early Exit | $5,993.21 | 99.92% | |
| 2024-05-07 | $68.51 | $0.05 | Early Exit | $6,843.47 | 99.93% |