Credit Put Spread
Credit Put Spread • Dec 31, 2014 - Dec 31, 2019
Backtest Performance
Backtest Metrics
Backtest Summary
This backtest shows a Credit Put Spread strategy on SPY from Dec 31, 2014 - Dec 31, 2019, placing 1210 trades that stayed open for an average of 9 days. With a solid 60.08% win rate (727 winners and 483 losers), the strategy proved reliable. This translated to $1,284,507.76 in total profits. On average, each position made $1,061.58. When annualized, that's a 69.2% return (CAGR), which suggests strong growth potential if maintained over time. The journey was quite volatile though - at its worst, the account was down 38.8%, which would require strong conviction to ride out. With a Sharpe ratio of 6.38, the returns were excellent relative to the risk taken. 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 |
|---|---|---|---|---|---|---|
| 2014-12-31 | $4.97 | $7.51 | Stop Loss | $-1,280.50 | -51.01% | |
| 2015-01-02 | $7.41 | $11.16 | Stop Loss | $-1,889.28 | -50.68% | |
| 2015-01-05 | $5.77 | $8.70 | Stop Loss | $-1,479.65 | -50.87% | |
| 2015-01-08 | $5.93 | $8.95 | Stop Loss | $-1,520.75 | -50.84% | |
| 2015-01-09 | $5.41 | $8.17 | Stop Loss | $-1,391.43 | -50.92% | |
| 2015-01-12 | $5.66 | $8.54 | Stop Loss | $-1,453.08 | -50.88% | |
| 2015-01-07 | $6.66 | $10.03 | Stop Loss | $-1,701.80 | -50.75% | |
| 2015-01-13 | $6.40 | $9.66 | Stop Loss | $-1,639.15 | -50.78% | |
| 2015-01-06 | $6.46 | $0.05 | Expiration | $3,193.15 | 99.23% | |
| 2015-01-15 | $8.69 | $1.79 | Take Profit | $3,439.08 | 79.42% | |
| 2015-01-22 | $6.34 | $9.56 | Stop Loss | $-1,623.50 | -50.79% | |
| 2015-01-26 | $5.71 | $8.62 | Stop Loss | $-1,466.20 | -50.88% | |
| 2015-01-23 | $6.08 | $9.16 | Stop Loss | $-1,557.08 | -50.82% | |
| 2015-01-27 | $6.81 | $10.27 | Stop Loss | $-1,740.50 | -50.73% | |
| 2015-01-14 | $9.77 | $0.00 | Expiration | $4,871.25 | 100.00% | |
| 2015-01-16 | $9.18 | $0.00 | Expiration | $4,577.80 | 100.00% | |
| 2015-01-20 | $6.70 | $0.00 | Expiration | $3,339.30 | 100.00% | |
| 2015-01-29 | $6.68 | $10.07 | Stop Loss | $-1,707.88 | -50.75% | |
| 2015-01-21 | $6.85 | $1.42 | Take Profit | $2,701.56 | 79.27% | |
| 2015-01-28 | $6.81 | $1.41 | Take Profit | $2,685.44 | 79.27% | |
| 2015-02-06 | $6.13 | $1.28 | Take Profit | $2,412.96 | 79.18% | |
| 2015-01-30 | $7.87 | $0.00 | Expiration | $3,922.40 | 100.00% | |
| 2015-02-02 | $5.81 | $0.00 | Expiration | $2,892.15 | 100.00% | |
| 2015-02-03 | $6.65 | $0.00 | Expiration | $3,312.45 | 100.00% | |
| 2015-02-04 | $7.84 | $0.00 | Expiration | $3,908.20 | 100.00% | |
| 2015-02-05 | $9.41 | $0.00 | Expiration | $4,693.50 | 100.00% | |
| 2015-02-09 | $6.68 | $0.00 | Expiration | $3,328.95 | 100.00% | |
| 2015-02-10 | $4.31 | $0.00 | Expiration | $2,143.65 | 100.00% | |
| 2015-02-11 | $5.60 | $0.00 | Expiration | $2,789.20 | 100.00% | |
| 2015-02-12 | $4.67 | $0.00 | Expiration | $2,323.05 | 100.00% | |
| 2015-02-13 | $6.57 | $0.00 | Expiration | $3,271.00 | 100.00% | |
| 2015-02-17 | $4.48 | $0.00 | Expiration | $2,227.50 | 100.00% | |
| 2015-02-19 | $3.96 | $0.84 | Take Profit | $1,547.24 | 78.74% | |
| 2015-03-02 | $3.47 | $5.26 | Stop Loss | $-906.30 | -51.44% | |
| 2015-03-03 | $2.93 | $4.44 | Stop Loss | $-770.43 | -51.71% | |
| 2015-02-18 | $5.71 | $3.25 | Expiration | $1,216.80 | 43.08% | |
| 2015-02-20 | $4.23 | $5.75 | Expiration | $-770.90 | -35.80% | |
| 2015-02-23 | $3.61 | $8.25 | Expiration | $-2,333.10 | -128.54% | |
| 2015-02-24 | $3.75 | $10.75 | Expiration | $-3,511.35 | -186.41% | |
| 2015-02-25 | $4.20 | $6.35 | Stop Loss | $-1,087.55 | -51.19% | |
| 2015-02-27 | $3.94 | $5.97 | Stop Loss | $-1,024.00 | -51.27% | |
| 2015-03-04 | $9.50 | $14.30 | Stop Loss | $-2,412.18 | -50.53% | |
| 2015-03-05 | $5.58 | $8.42 | Stop Loss | $-1,433.50 | -50.90% | |
| 2015-03-06 | $6.67 | $10.05 | Stop Loss | $-1,704.68 | -50.75% | |
| 2015-03-09 | $5.75 | $8.68 | Stop Loss | $-1,476.58 | -50.87% | |
| 2015-03-10 | $5.94 | $0.00 | Expiration | $2,957.55 | 100.00% | |
| 2015-03-16 | $5.91 | $1.23 | Take Profit | $2,324.92 | 79.15% | |
| 2015-03-17 | $7.35 | $1.52 | Take Profit | $2,902.40 | 79.32% | |
| 2015-03-20 | $3.34 | $5.06 | Stop Loss | $-872.18 | -51.50% | |
| 2015-03-11 | $7.33 | $1.52 | Take Profit | $2,894.80 | 79.32% |