Long Put
Long Put • Dec 10, 2020 - Dec 10, 2025
Backtest Performance
Backtest Metrics
Backtest Summary
This backtest shows a Long Put strategy on SPX from Dec 10, 2020 - Dec 10, 2025, placing 931 trades that stayed open for an average of 2 days. Despite winning only 25.56% of trades (238 vs 693), the winners were big enough to generate $803,415.81 in profits. On average, each position made $862.96. 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 5.08, the returns were excellent relative to the risk taken. Notably, the strategy captured 2,477.8% 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 |
|---|---|---|---|---|---|---|
| 2020-12-11 | $0.24 | $0.00 | Expiration | $-25.22 | -100.00% | |
| 2020-12-14 | $0.24 | $0.05 | Expiration | $-20.22 | -79.10% | |
| 2020-12-16 | $0.17 | $0.05 | Expiration | $-13.63 | -71.15% | |
| 2020-12-18 | $0.48 | $0.00 | Expiration | $-49.02 | -100.00% | |
| 2020-12-21 | $0.56 | $0.05 | Expiration | $-52.60 | -91.12% | |
| 2020-12-23 | $0.22 | $0.00 | Expiration | $-23.58 | -100.00% | |
| 2020-12-31 | $0.39 | $0.05 | Expiration | $-34.96 | -87.07% | |
| 2021-01-04 | $0.40 | $0.05 | Expiration | $-36.11 | -87.44% | |
| 2021-01-06 | $0.80 | $0.05 | Expiration | $-76.47 | -93.76% | |
| 2021-01-08 | $0.28 | $5.06 | Expiration | $476.95 | 1,723.42% | |
| 2021-01-11 | $0.33 | $0.05 | Expiration | $-29.17 | -84.79% | |
| 2021-01-13 | $0.31 | $0.05 | Expiration | $-27.55 | -84.00% | |
| 2021-01-15 | $0.35 | $0.05 | Expiration | $-30.94 | -85.57% | |
| 2021-01-20 | $0.31 | $0.05 | Expiration | $-27.40 | -83.92% | |
| 2021-01-22 | $0.47 | $0.00 | Expiration | $-48.72 | -100.00% | |
| 2021-01-25 | $0.27 | $0.05 | Expiration | $-22.80 | -81.13% | |
| 2021-01-27 | $0.33 | $0.05 | Expiration | $-28.89 | -84.66% | |
| 2021-01-29 | $0.38 | $0.00 | Expiration | $-39.10 | -100.00% | |
| 2021-02-01 | $0.25 | $0.05 | Expiration | $-20.82 | -79.61% | |
| 2021-02-03 | $0.26 | $0.05 | Expiration | $-22.68 | -81.05% | |
| 2021-02-05 | $0.19 | $0.00 | Expiration | $-20.14 | -100.00% | |
| 2021-02-08 | $0.19 | $0.05 | Expiration | $-15.52 | -73.99% | |
| 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% |
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