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 82 trades that stayed open for an average of 44 days. The results were impressive - winning 97.56% of the time (80 wins vs 2 losses), which shows remarkable consistency. This translated to $451,065.64 in total profits. On average, each position made $5,500.80. When annualized, that's a 40.7% return (CAGR), which suggests strong growth potential if maintained over time. The account experienced a 14.1% drawdown at its lowest point, which is moderate but manageable. With a Sharpe ratio of 5.51, the returns were excellent relative to the risk taken. The strategy managed to keep 57.9% 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 |
|---|---|---|---|---|---|---|
| 2021-01-08 | $45.13 | $22.62 | Take Profit | $2,249.15 | 49.89% | |
| 2021-03-12 | $78.76 | $39.43 | Take Profit | $3,930.51 | 49.94% | |
| 2021-04-23 | $93.38 | $46.74 | Take Profit | $4,661.30 | 49.95% | |
| 2021-05-28 | $95.71 | $47.91 | Take Profit | $4,778.07 | 49.95% | |
| 2021-06-25 | $75.39 | $37.75 | Take Profit | $3,762.14 | 49.93% | |
| 2021-08-06 | $80.63 | $40.36 | Take Profit | $4,023.73 | 49.94% | |
| 2021-09-24 | $107.52 | $55.75 | Early Exit | $5,173.94 | 48.15% | |
| 2021-11-26 | $116.24 | $58.17 | Take Profit | $5,804.62 | 49.96% | |
| 2022-01-07 | $64.22 | $0.05 | Early Exit | $6,414.73 | 99.92% | |
| 2022-03-18 | $131.98 | $0.05 | Early Exit | $13,189.98 | 99.96% | |
| 2022-05-27 | $86.35 | $0.05 | Early Exit | $8,627.26 | 99.94% | |
| 2022-06-10 | $55.77 | $27.94 | Take Profit | $2,781.08 | 49.91% | |
| 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% | |
| 2022-10-21 | $69.30 | $34.70 | Take Profit | $3,457.48 | 49.93% | |
| 2022-09-09 | $97.37 | $0.05 | Early Exit | $9,729.46 | 99.95% | |
| 2022-11-11 | $99.57 | $49.84 | Take Profit | $4,971.15 | 49.95% | |
| 2022-12-02 | $161.41 | $80.75 | Take Profit | $8,062.83 | 49.97% | |
| 2023-01-06 | $105.41 | $52.76 | Take Profit | $5,263.02 | 49.95% | |
| 2023-02-17 | $68.40 | $34.25 | Take Profit | $3,412.32 | 49.93% | |
| 2023-02-03 | $65.64 | $0.05 | Early Exit | $6,556.64 | 99.92% | |
| 2023-03-31 | $140.01 | $70.05 | Take Profit | $6,992.75 | 49.96% | |
| 2023-04-21 | $76.21 | $38.15 | Take Profit | $3,802.82 | 49.93% | |
| 2023-05-05 | $44.67 | $22.38 | Take Profit | $2,225.76 | 49.89% | |
| 2023-05-12 | $69.48 | $34.79 | Take Profit | $3,466.38 | 49.93% | |
| 2023-06-23 | $44.38 | $22.24 | Take Profit | $2,211.31 | 49.89% | |
| 2023-06-02 | $55.32 | $27.71 | Take Profit | $2,758.52 | 49.91% | |
| 2023-06-09 | $74.17 | $51.01 | Early Exit | $2,313.54 | 31.23% | |
| 2023-07-21 | $75.00 | $37.55 | Take Profit | $3,742.19 | 49.93% | |
| 2023-08-04 | $86.63 | $43.36 | Take Profit | $4,323.68 | 49.94% | |
| 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% | |
| 2023-09-01 | $70.50 | $0.05 | Early Exit | $7,042.08 | 99.93% | |
| 2023-09-08 | $79.48 | $0.05 | Early Exit | $7,940.36 | 99.94% | |
| 2023-11-03 | $75.24 | $37.67 | Take Profit | $3,754.40 | 49.93% | |
| 2023-12-08 | $48.46 | $24.28 | Take Profit | $2,415.55 | 49.90% | |
| 2023-11-10 | $34.42 | $0.05 | Early Exit | $3,433.93 | 99.85% | |
| 2023-11-17 | $126.24 | $0.05 | Early Exit | $12,616.28 | 99.96% | |
| 2024-01-26 | $50.69 | $25.39 | Take Profit | $2,526.77 | 49.90% | |
| 2024-01-05 | $100.45 | $0.05 | Early Exit | $10,037.65 | 99.95% | |
| 2024-03-08 | $48.94 | $24.52 | Take Profit | $2,439.56 | 49.90% | |
| 2024-02-02 | $104.27 | $60.74 | Early Exit | $4,350.21 | 41.75% | |
| 2024-03-01 | $80.24 | $40.17 | Take Profit | $4,004.25 | 49.94% | |
| 2024-04-12 | $86.98 | $43.54 | Take Profit | $4,341.34 | 49.94% | |
| 2024-03-15 | $63.83 | $31.96 | Take Profit | $3,183.79 | 49.92% | |
| 2024-05-17 | $79.91 | $40.00 | Take Profit | $3,987.73 | 49.94% | |
| 2024-04-26 | $97.63 | $0.05 | Early Exit | $9,755.22 | 99.95% | |
| 2024-05-03 | $119.29 | $0.05 | Early Exit | $11,921.74 | 99.96% | |
| 2024-07-05 | $77.65 | $271.81 | Stop Loss | $-19,418.90 | -250.06% | |
| 2024-06-28 | $97.54 | $48.82 | Take Profit | $4,869.20 | 49.95% |