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 507 trades that stayed open for an average of 50 days. The results were impressive - winning 94.48% of the time (479 wins vs 28 losses), which shows remarkable consistency. This translated to $3,312,022.12 in total profits. On average, each position made $6,532.59. When annualized, that's a 34.0% return (CAGR), which suggests strong growth potential if maintained over time. The account experienced a 10.7% drawdown at its lowest point, which is moderate but manageable. With a Sharpe ratio of 13.78, the returns were excellent relative to the risk taken. The strategy managed to keep 55.6% 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 |
|---|---|---|---|---|---|---|
| 2021-01-04 | $144.25 | $72.17 | Take Profit | $7,204.78 | 49.97% | |
| 2021-01-08 | $45.13 | $22.62 | Take Profit | $2,249.15 | 49.89% | |
| 2021-01-06 | $89.06 | $44.58 | Take Profit | $4,445.29 | 49.94% | |
| 2020-12-28 | $102.65 | $51.37 | Take Profit | $5,124.78 | 49.95% | |
| 2021-01-13 | $109.04 | $54.57 | Take Profit | $5,444.28 | 49.95% | |
| 2020-12-30 | $103.30 | $51.70 | Take Profit | $5,157.50 | 49.95% | |
| 2021-01-15 | $133.36 | $66.73 | Take Profit | $6,660.43 | 49.96% | |
| 2021-01-11 | $202.23 | $101.17 | Take Profit | $10,104.10 | 49.98% | |
| 2021-02-08 | $162.25 | $81.18 | Take Profit | $8,104.97 | 49.97% | |
| 2021-02-17 | $117.84 | $58.97 | Take Profit | $5,884.28 | 49.96% | |
| 2021-02-26 | $119.79 | $59.94 | Take Profit | $5,981.89 | 49.96% | |
| 2021-03-01 | $101.85 | $50.97 | Take Profit | $5,084.84 | 49.95% | |
| 2021-03-08 | $85.31 | $42.71 | Take Profit | $4,258.09 | 49.94% | |
| 2021-03-05 | $128.18 | $0.05 | Early Exit | $12,810.60 | 99.96% | |
| 2021-03-10 | $98.96 | $0.05 | Early Exit | $9,888.70 | 99.95% | |
| 2021-04-14 | $97.55 | $48.83 | Take Profit | $4,870.00 | 49.95% | |
| 2021-04-16 | $126.39 | $63.24 | Take Profit | $6,311.82 | 49.96% | |
| 2021-04-19 | $131.94 | $66.02 | Take Profit | $6,589.23 | 49.96% | |
| 2021-05-03 | $63.78 | $31.94 | Take Profit | $3,181.53 | 49.92% | |
| 2021-03-19 | $171.50 | $0.05 | Early Exit | $17,142.71 | 99.97% | |
| 2021-04-12 | $95.18 | $47.64 | Take Profit | $4,751.55 | 49.95% | |
| 2021-04-09 | $141.31 | $96.31 | Early Exit | $4,497.71 | 31.85% | |
| 2021-05-07 | $132.90 | $66.50 | Take Profit | $6,637.45 | 49.96% | |
| 2021-05-10 | $99.17 | $49.64 | Take Profit | $4,950.91 | 49.95% | |
| 2021-05-28 | $95.71 | $47.91 | Take Profit | $4,778.07 | 49.95% | |
| 2021-06-07 | $47.53 | $23.81 | Take Profit | $2,368.84 | 49.89% | |
| 2021-06-02 | $62.23 | $31.16 | Take Profit | $3,103.79 | 49.92% | |
| 2021-06-18 | $89.12 | $44.61 | Take Profit | $4,448.59 | 49.94% | |
| 2021-06-16 | $104.80 | $52.45 | Take Profit | $5,232.42 | 49.95% | |
| 2021-06-25 | $75.39 | $37.75 | Take Profit | $3,762.14 | 49.93% | |
| 2021-06-04 | $73.45 | $0.05 | Early Exit | $7,337.24 | 99.93% | |
| 2021-06-09 | $79.85 | $0.05 | Early Exit | $7,977.60 | 99.94% | |
| 2021-06-11 | $131.65 | $112.52 | Early Exit | $1,910.36 | 14.53% | |
| 2021-06-28 | $56.25 | $28.17 | Take Profit | $2,804.84 | 49.91% | |
| 2021-06-30 | $87.44 | $43.77 | Take Profit | $4,364.17 | 49.94% | |
| 2021-06-14 | $132.91 | $0.05 | Early Exit | $13,283.57 | 99.96% | |
| 2021-06-21 | $124.63 | $0.05 | Early Exit | $12,455.34 | 99.96% | |
| 2021-06-23 | $91.62 | $0.05 | Early Exit | $9,154.32 | 99.95% | |
| 2021-08-06 | $80.63 | $40.36 | Take Profit | $4,023.73 | 49.94% | |
| 2021-07-21 | $101.62 | $50.86 | Take Profit | $5,073.45 | 49.95% | |
| 2021-07-30 | $151.18 | $75.64 | Take Profit | $7,551.35 | 49.97% | |
| 2021-08-13 | $100.41 | $50.25 | Take Profit | $5,012.79 | 49.95% | |
| 2021-08-16 | $94.41 | $47.25 | Take Profit | $4,712.74 | 49.95% | |
| 2021-08-20 | $128.74 | $64.42 | Take Profit | $6,429.24 | 49.96% | |
| 2021-08-25 | $67.02 | $33.56 | Take Profit | $3,343.20 | 49.93% | |
| 2021-08-11 | $104.51 | $0.05 | Early Exit | $10,443.10 | 99.95% | |
| 2021-08-27 | $139.08 | $69.59 | Take Profit | $6,946.59 | 49.96% | |
| 2021-08-30 | $117.93 | $59.01 | Take Profit | $5,888.80 | 49.96% | |
| 2021-09-01 | $109.73 | $54.92 | Take Profit | $5,479.07 | 49.95% | |
| 2021-09-15 | $105.86 | $52.98 | Take Profit | $5,285.24 | 49.95% |