Butterfly Spread
Butterfly Spread • Nov 10, 2023 - Dec 10, 2025
Backtest Performance
Backtest Metrics
Backtest Summary
This backtest shows a Butterfly Spread strategy on SPX from Nov 10, 2023 - Dec 10, 2025, placing 480 trades that stayed open for an average of 1 days. The results were impressive - winning 81.46% of the time (391 wins vs 89 losses), which shows remarkable consistency. This translated to $1,398,528.34 in total profits. On average, each position made $2,913.60. When annualized, that's a 3,135.5% return (CAGR), which suggests strong growth potential if maintained over time. The journey was quite volatile though - at its worst, the account was down 32.3%, which would require strong conviction to ride out. With a Sharpe ratio of 10.82, the returns were excellent relative to the risk taken. The strategy managed to keep 53.2% 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 |
|---|---|---|---|---|---|---|
| 2023-11-22 | $0.58 | $0.05 | Expiration | $-171.60 | -91.34% | |
| 2023-12-19 | $0.64 | $5.00 | Expiration | $862.86 | 680.15% | |
| 2023-12-26 | $3.16 | $5.00 | Expiration | $179.41 | 58.17% | |
| 2023-12-27 | $2.04 | $5.00 | Expiration | $291.17 | 144.68% | |
| 2023-12-28 | $3.31 | $5.00 | Expiration | $164.23 | 50.93% | |
| 2023-12-29 | $4.65 | $0.05 | Expiration | $-464.29 | -98.92% | |
| 2024-01-04 | $3.49 | $6.12 | Expiration | $258.20 | 75.20% | |
| 2024-01-08 | $2.26 | $4.63 | Expiration | $232.77 | 105.09% | |
| 2024-01-09 | $3.45 | $5.00 | Expiration | $150.44 | 44.89% | |
| 2024-01-10 | $2.53 | $0.00 | Expiration | $-257.52 | -100.00% | |
| 2024-01-12 | $4.24 | $0.05 | Expiration | $-423.04 | -98.82% | |
| 2024-01-24 | $2.12 | $5.00 | Expiration | $283.84 | 136.21% | |
| 2024-01-26 | $2.32 | $5.00 | Expiration | $263.69 | 115.68% | |
| 2024-01-29 | $4.14 | $6.01 | Expiration | $182.15 | 45.04% | |
| 2024-01-30 | $3.21 | $10.00 | Expiration | $674.74 | 211.74% | |
| 2024-01-31 | $6.19 | $15.00 | Expiration | $876.55 | 142.34% | |
| 2024-02-01 | $1.98 | $5.00 | Expiration | $1,190.36 | 152.61% | |
| 2024-02-02 | $5.14 | $10.00 | Expiration | $963.16 | 94.58% | |
| 2024-02-05 | $3.35 | $1.12 | Expiration | $-682.68 | -66.58% | |
| 2024-02-06 | $3.49 | $5.00 | Expiration | $438.42 | 43.11% | |
| 2024-02-07 | $4.13 | $1.93 | Expiration | $-449.92 | -53.32% | |
| 2024-02-08 | $3.46 | $5.00 | Expiration | $449.52 | 44.64% | |
| 2024-02-09 | $3.97 | $5.38 | Expiration | $410.67 | 35.64% | |
| 2024-02-12 | $3.19 | $10.00 | Expiration | $2,704.56 | 213.11% | |
| 2024-02-13 | $5.69 | $10.00 | Expiration | $1,280.22 | 75.81% | |
| 2024-02-14 | $4.94 | $10.00 | Expiration | $2,005.56 | 102.38% | |
| 2024-02-15 | $3.52 | $5.00 | Expiration | $1,007.09 | 42.19% | |
| 2024-02-16 | $3.98 | $0.05 | Expiration | $-2,382.84 | -98.74% | |
| 2024-02-20 | $6.37 | $1.31 | Expiration | $-1,531.62 | -79.44% | |
| 2024-02-21 | $5.54 | $10.00 | Expiration | $1,325.79 | 80.64% | |
| 2024-02-22 | $2.67 | $1.60 | Expiration | $-894.64 | -40.15% | |
| 2024-02-23 | $4.35 | $5.00 | Expiration | $240.68 | 14.85% | |
| 2024-02-26 | $3.47 | $1.36 | Expiration | $-1,078.10 | -60.82% | |
| 2024-02-28 | $3.34 | $5.00 | Expiration | $809.90 | 49.91% | |
| 2024-02-29 | $5.05 | $10.00 | Expiration | $1,471.98 | 98.07% | |
| 2024-03-01 | $2.07 | $0.75 | Expiration | $-1,361.60 | -63.71% | |
| 2024-03-04 | $4.27 | $10.00 | Expiration | $2,274.32 | 134.22% | |
| 2024-03-05 | $5.28 | $10.00 | Expiration | $1,869.84 | 89.37% | |
| 2024-03-06 | $7.72 | $15.00 | Expiration | $2,170.08 | 94.26% | |
| 2024-03-07 | $4.24 | $10.00 | Expiration | $4,001.55 | 135.92% | |
| 2024-03-08 | $6.36 | $8.95 | Expiration | $1,524.54 | 40.63% | |
| 2024-03-11 | $4.12 | $10.00 | Expiration | $5,838.40 | 142.91% | |
| 2024-03-12 | $5.01 | $10.00 | Expiration | $4,945.70 | 99.62% | |
| 2024-03-13 | $5.74 | $15.00 | Expiration | $9,219.40 | 161.52% | |
| 2024-03-14 | $4.56 | $10.00 | Expiration | $5,392.00 | 119.14% | |
| 2024-03-15 | $7.21 | $15.00 | Expiration | $7,749.00 | 108.15% | |
| 2024-03-19 | $4.51 | $10.00 | Expiration | $5,441.50 | 121.55% | |
| 2024-03-20 | $7.25 | $15.00 | Expiration | $7,709.30 | 107.01% | |
| 2024-03-21 | $4.45 | $11.85 | Expiration | $7,354.20 | 166.23% | |
| 2024-03-25 | $3.01 | $5.00 | Expiration | $1,941.20 | 65.89% |