Diagonal Spread
Diagonal Spread • Dec 10, 2020 - Dec 10, 2025
Backtest Performance
Backtest Metrics
Backtest Summary
This backtest shows a Diagonal Spread strategy on SPY from Dec 10, 2020 - Dec 10, 2025, placing 486 trades that stayed open for an average of 3 days. With a solid 56.79% win rate (276 winners and 210 losers), the strategy proved reliable. This translated to $5,658,723.98 in total profits. On average, each position made $11,643.46. When annualized, that's a 125.0% return (CAGR), which suggests strong growth potential if maintained over time. The journey was quite volatile though - at its worst, the account was down 53.4%, which would require strong conviction to ride out. The Sharpe ratio of 1.66 suggests the returns were worth the risk. The strategy managed to keep 72.1% of the premium collected. 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 |
|---|---|---|---|---|---|---|
| 2020-12-10 | $0.24 | $1.40 | Days In Trade | $11,104.00 | 487.38% | |
| 2020-12-14 | $0.77 | $0.05 | Days In Trade | $-7,749.00 | -93.53% | |
| 2020-12-17 | $1.83 | $0.15 | Days In Trade | $-9,670.08 | -91.72% | |
| 2020-12-21 | $2.28 | $2.57 | Days In Trade | $961.45 | 12.57% | |
| 2020-12-24 | $1.90 | $3.70 | Days In Trade | $8,540.70 | 94.38% | |
| 2020-12-28 | $2.09 | $2.93 | Days In Trade | $3,878.84 | 40.45% | |
| 2020-12-31 | $1.08 | $2.22 | Days In Trade | $10,820.70 | 106.09% | |
| 2021-01-04 | $1.15 | $4.41 | Days In Trade | $-33,116.00 | -284.43% | |
| 2021-01-07 | $1.88 | $1.29 | Days In Trade | $-2,878.20 | -31.31% | |
| 2021-01-11 | $1.15 | $0.19 | Days In Trade | $6,388.90 | 83.61% | |
| 2021-01-14 | $1.95 | $0.05 | Days In Trade | $-8,785.35 | -97.44% | |
| 2021-01-21 | $2.35 | $1.21 | Days In Trade | $-3,931.62 | -48.55% | |
| 2021-01-25 | $2.28 | $0.44 | Days In Trade | $-6,237.33 | -80.53% | |
| 2021-01-28 | $0.36 | $0.07 | Days In Trade | $-3,431.00 | -81.02% | |
| 2021-02-01 | $0.17 | $0.39 | Stop Loss | $-2,738.00 | -129.10% | |
| 2021-02-04 | $1.14 | $3.91 | Days In Trade | $14,917.10 | 241.96% | |
| 2021-02-08 | $2.31 | $2.84 | Days In Trade | $1,583.34 | 23.07% | |
| 2021-02-11 | $1.01 | $0.05 | Days In Trade | $-7,885.02 | -95.04% | |
| 2021-02-18 | $0.98 | $0.95 | Days In Trade | $-540.20 | -2.25% | |
| 2021-02-22 | $0.51 | $2.62 | Days In Trade | $20,585.00 | 417.51% | |
| 2021-02-25 | $2.23 | $0.18 | Days In Trade | $8,170.48 | 91.82% | |
| 2021-03-01 | $0.59 | $8.32 | Days In Trade | $76,701.00 | 1,301.99% | |
| 2021-03-04 | $1.37 | $5.96 | Days In Trade | $45,399.00 | 335.13% | |
| 2021-03-08 | $0.32 | $0.70 | Stop Loss | $-4,254.00 | -115.46% | |
| 2021-03-11 | $0.08 | $0.80 | Days In Trade | $-7,674.00 | -890.91% | |
| 2021-03-15 | $1.82 | $1.23 | Days In Trade | $-6,451.00 | -32.54% | |
| 2021-03-18 | $0.42 | $1.04 | Days In Trade | $-6,675.00 | -144.89% | |
| 2021-03-22 | $0.38 | $0.80 | Stop Loss | $-4,771.00 | -113.33% | |
| 2021-03-25 | $0.09 | $0.22 | Stop Loss | $-1,893.00 | -157.27% | |
| 2021-03-29 | $1.95 | $0.05 | Days In Trade | $-18,895.60 | -97.43% | |
| 2021-04-01 | $1.26 | $5.16 | Days In Trade | $38,412.00 | 307.98% | |
| 2021-04-05 | $1.53 | $2.40 | Days In Trade | $8,210.00 | 57.03% | |
| 2021-04-08 | $1.67 | $3.83 | Days In Trade | $21,075.00 | 129.40% | |
| 2021-04-12 | $1.26 | $3.57 | Days In Trade | $22,503.00 | 182.01% | |
| 2021-04-15 | $0.96 | $0.37 | Days In Trade | $-6,490.00 | -61.97% | |
| 2021-04-19 | $2.93 | $1.69 | Days In Trade | $-11,249.10 | -42.33% | |
| 2021-04-22 | $0.11 | $0.28 | Stop Loss | $-2,148.00 | -144.33% | |
| 2021-04-26 | $1.89 | $2.75 | Days In Trade | $8,012.00 | 45.04% | |
| 2021-04-29 | $0.67 | $0.01 | Days In Trade | $-7,184.00 | -98.78% | |
| 2021-05-03 | $2.50 | $2.06 | Days In Trade | $-4,681.22 | -17.26% | |
| 2021-05-06 | $0.19 | $1.33 | Days In Trade | $10,821.00 | 583.69% | |
| 2021-05-10 | $0.54 | $5.19 | Days In Trade | $45,932.00 | 852.33% | |
| 2021-05-13 | $0.18 | $0.40 | Stop Loss | $-2,783.00 | -128.36% | |
| 2021-05-17 | $0.22 | $0.45 | Days In Trade | $1,781.00 | 103.84% | |
| 2021-05-20 | $0.05 | $0.16 | Stop Loss | $-1,568.00 | -191.24% | |
| 2021-05-24 | $1.73 | $1.46 | Days In Trade | $-3,204.00 | -15.50% | |
| 2021-05-27 | $0.50 | $0.05 | Days In Trade | $-4,972.00 | -89.90% | |
| 2021-06-03 | $3.67 | $5.39 | Days In Trade | $12,818.19 | 46.80% | |
| 2021-06-07 | $1.65 | $2.07 | Days In Trade | $3,759.00 | 25.99% | |
| 2021-06-10 | $0.59 | $0.83 | Days In Trade | $1,871.00 | 40.48% |