Credit Put Spread
Credit Put Spread • Dec 10, 2015 - Dec 10, 2025
Backtest Performance
Backtest Metrics
Backtest Summary
This backtest shows a Credit Put Spread strategy on SPX from Dec 10, 2015 - Dec 10, 2025, placing 470 trades that stayed open for an average of 6 days. The results were impressive - winning 70.64% of the time (332 wins vs 138 losses), which shows remarkable consistency. This translated to $1,309,583.21 in total profits. On average, each position made $2,786.35. When annualized, that's a 30.3% return (CAGR), which suggests strong growth potential if maintained over time. The journey was quite volatile though - at its worst, the account was down 49.2%, which would require strong conviction to ride out. The Sharpe ratio of 0.81 shows modest risk-adjusted performance. 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 |
|---|---|---|---|---|---|---|
| 2015-12-17 | $15.34 | $0.00 | Expiration | $9,191.10 | 100.00% | |
| 2015-12-24 | $12.25 | $10.24 | Expiration | $1,590.32 | 16.43% | |
| 2016-02-25 | $13.65 | $0.00 | Expiration | $10,901.60 | 100.00% | |
| 2016-03-03 | $13.39 | $10.57 | Expiration | $2,510.46 | 21.03% | |
| 2016-03-10 | $14.43 | $0.00 | Expiration | $11,524.96 | 100.00% | |
| 2016-03-17 | $12.13 | $1.72 | Expiration | $10,379.00 | 85.81% | |
| 2016-03-24 | $9.12 | $0.00 | Expiration | $9,089.20 | 100.00% | |
| 2016-03-31 | $10.03 | $0.00 | Expiration | $10,007.60 | 100.00% | |
| 2016-04-07 | $12.36 | $0.00 | Expiration | $12,329.40 | 100.00% | |
| 2016-04-14 | $8.73 | $0.00 | Expiration | $8,703.40 | 100.00% | |
| 2016-04-21 | $9.33 | $0.00 | Expiration | $9,299.20 | 100.00% | |
| 2016-04-28 | $11.31 | $20.10 | Expiration | $-8,811.60 | -77.65% | |
| 2016-05-05 | $12.56 | $0.00 | Expiration | $12,535.50 | 100.00% | |
| 2016-05-12 | $11.80 | $21.14 | Expiration | $-9,368.90 | -79.20% | |
| 2016-05-19 | $10.64 | $0.00 | Expiration | $10,617.20 | 100.00% | |
| 2016-06-02 | $10.54 | $0.00 | Expiration | $10,517.90 | 100.00% | |
| 2016-06-09 | $8.12 | $44.56 | Expiration | $-36,466.10 | -448.78% | |
| 2016-06-16 | $12.48 | $0.00 | Expiration | $12,453.00 | 100.00% | |
| 2016-06-23 | $13.25 | $41.79 | Expiration | $-28,564.10 | -215.35% | |
| 2016-06-30 | $10.57 | $0.00 | Expiration | $10,547.80 | 100.00% | |
| 2016-07-07 | $10.05 | $0.00 | Expiration | $10,026.10 | 100.00% | |
| 2016-07-21 | $8.52 | $0.00 | Expiration | $8,492.20 | 100.00% | |
| 2016-07-28 | $9.75 | $9.52 | Expiration | $200.40 | 2.32% | |
| 2016-08-04 | $9.10 | $0.00 | Expiration | $9,076.80 | 100.00% | |
| 2016-08-18 | $6.37 | $8.03 | Expiration | $-1,687.40 | -26.09% | |
| 2016-08-25 | $9.18 | $0.00 | Expiration | $9,154.80 | 100.00% | |
| 2016-09-01 | $11.11 | $0.00 | Expiration | $11,088.50 | 100.00% | |
| 2016-09-08 | $6.57 | $55.17 | Expiration | $-48,630.70 | -740.33% | |
| 2016-09-15 | $15.06 | $0.00 | Expiration | $15,035.90 | 100.00% | |
| 2016-09-22 | $10.41 | $10.13 | Expiration | $257.40 | 2.72% | |
| 2016-09-29 | $12.24 | $0.00 | Expiration | $12,216.30 | 100.00% | |
| 2016-10-06 | $10.56 | $19.11 | Expiration | $-8,577.70 | -81.00% | |
| 2016-10-13 | $13.07 | $0.00 | Expiration | $13,046.50 | 100.00% | |
| 2016-10-20 | $9.18 | $0.00 | Expiration | $9,149.10 | 100.00% | |
| 2016-10-27 | $12.32 | $33.70 | Expiration | $-21,401.80 | -173.45% | |
| 2016-11-03 | $20.63 | $0.00 | Expiration | $18,546.57 | 100.00% | |
| 2016-11-10 | $10.67 | $0.00 | Expiration | $10,639.10 | 100.00% | |
| 2016-12-01 | $11.55 | $0.00 | Expiration | $11,523.40 | 100.00% | |
| 2016-12-08 | $9.27 | $0.00 | Expiration | $9,247.40 | 100.00% | |
| 2016-12-15 | $10.90 | $0.00 | Expiration | $10,872.30 | 100.00% | |
| 2016-12-29 | $9.47 | $0.00 | Expiration | $9,441.10 | 100.00% | |
| 2017-01-05 | $9.27 | $0.00 | Expiration | $9,248.60 | 100.00% | |
| 2017-01-19 | $9.85 | $0.00 | Expiration | $9,828.60 | 100.00% | |
| 2017-01-26 | $5.73 | $15.46 | Expiration | $-9,757.00 | -169.86% | |
| 2017-02-02 | $8.32 | $0.00 | Expiration | $8,298.50 | 100.00% | |
| 2017-03-09 | $6.75 | $0.00 | Expiration | $6,728.60 | 100.00% | |
| 2017-03-23 | $12.27 | $0.00 | Expiration | $12,247.10 | 100.00% | |
| 2017-03-30 | $8.38 | $15.16 | Expiration | $-6,806.30 | -80.91% | |
| 2017-04-06 | $8.69 | $11.41 | Expiration | $-2,750.60 | -31.37% | |
| 2017-04-13 | $9.16 | $0.00 | Expiration | $9,138.00 | 100.00% |
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