• Jan 10, 2011 - Dec 10, 2025
Backtest Performance
Backtest Metrics
Backtest Summary
This backtest shows a strategy on SPX from Jan 10, 2011 - Dec 10, 2025, placing 697 trades that stayed open for an average of 3 days. The results were impressive - winning 80.63% of the time (562 wins vs 135 losses), which shows remarkable consistency. This translated to $987,212.80 in total profits. On average, each position made $1,416.37. When annualized, that's a 17.4% return (CAGR), which suggests strong growth potential if maintained over time. Impressively, the maximum drawdown was only 5.8%, showing excellent risk control. With a Sharpe ratio of 4.27, 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 |
|---|---|---|---|---|---|---|
| 2011-01-21 | $1.67 | $0.05 | Early Exit | $1,606.50 | 97.01% | |
| 2011-01-28 | $2.39 | $0.05 | Early Exit | $2,327.20 | 97.91% | |
| 2011-02-04 | $1.00 | $0.05 | Early Exit | $940.50 | 95.02% | |
| 2011-02-18 | $1.13 | $2.32 | Stop Loss | $-1,197.80 | -104.41% | |
| 2011-02-25 | $1.83 | $0.05 | Early Exit | $1,765.10 | 97.26% | |
| 2011-03-04 | $1.44 | $2.94 | Stop Loss | $-1,507.20 | -103.46% | |
| 2011-03-18 | $3.05 | $0.05 | Early Exit | $2,988.60 | 98.36% | |
| 2011-03-25 | $1.32 | $0.05 | Early Exit | $1,253.80 | 96.20% | |
| 2011-04-01 | $1.58 | $0.05 | Early Exit | $1,517.80 | 96.84% | |
| 2011-04-15 | $1.22 | $2.49 | Stop Loss | $-1,281.90 | -104.10% | |
| 2011-04-29 | $1.12 | $2.30 | Stop Loss | $-1,186.90 | -104.45% | |
| 2011-05-06 | $2.47 | $0.05 | Early Exit | $2,409.90 | 97.98% | |
| 2011-05-20 | $1.95 | $0.05 | Early Exit | $1,889.00 | 97.44% | |
| 2011-06-17 | $2.65 | $0.05 | Early Exit | $2,585.50 | 98.11% | |
| 2011-06-24 | $1.69 | $0.05 | Early Exit | $1,629.80 | 97.05% | |
| 2011-07-15 | $2.13 | $0.05 | Early Exit | $2,065.00 | 97.65% | |
| 2011-07-22 | $1.89 | $3.82 | Stop Loss | $-1,949.30 | -102.65% | |
| 2011-08-19 | $4.17 | $0.05 | Early Exit | $4,108.60 | 98.80% | |
| 2011-08-26 | $3.33 | $0.05 | SMA Exit | $3,269.70 | 98.50% | |
| 2011-09-02 | $2.87 | $0.05 | Early Exit | $2,803.70 | 98.26% | |
| 2011-09-16 | $3.38 | $6.81 | Stop Loss | $-3,441.40 | -101.48% | |
| 2011-09-23 | $4.00 | $0.05 | Early Exit | $3,934.70 | 98.75% | |
| 2011-09-30 | $3.74 | $0.05 | Early Exit | $3,674.50 | 98.66% | |
| 2011-10-07 | $2.78 | $0.05 | Early Exit | $2,718.80 | 98.20% | |
| 2011-10-21 | $3.41 | $0.97 | SMA Exit | $2,432.70 | 71.68% | |
| 2011-10-28 | $2.25 | $4.55 | Stop Loss | $-2,312.80 | -102.22% | |
| 2011-11-04 | $2.76 | $1.06 | SMA Exit | $1,687.40 | 61.58% | |
| 2011-11-18 | $2.96 | $0.05 | Early Exit | $2,893.10 | 98.31% | |
| 2011-11-25 | $2.79 | $0.05 | SMA Exit | $2,731.30 | 98.21% | |
| 2011-12-02 | $2.57 | $1.20 | SMA Exit | $1,356.00 | 53.28% | |
| 2011-12-16 | $1.96 | $1.26 | SMA Exit | $687.30 | 35.64% | |
| 2011-12-23 | $1.72 | $1.06 | SMA Exit | $646.50 | 38.42% | |
| 2011-12-30 | $1.92 | $0.05 | SMA Exit | $1,859.70 | 97.40% | |
| 2012-01-06 | $1.85 | $0.43 | SMA Exit | $1,410.30 | 76.98% | |
| 2012-01-20 | $1.64 | $2.36 | SMA Exit | $-728.10 | -43.57% | |
| 2012-01-27 | $1.23 | $1.57 | SMA Exit | $-350.80 | -27.43% | |
| 2012-02-03 | $1.62 | $0.66 | SMA Exit | $953.60 | 59.54% | |
| 2012-02-17 | $1.31 | $0.37 | SMA Exit | $926.20 | 71.68% | |
| 2012-02-24 | $1.53 | $0.93 | SMA Exit | $590.20 | 39.47% | |
| 2012-03-02 | $1.47 | $0.87 | SMA Exit | $587.00 | 40.80% | |
| 2012-03-16 | $1.71 | $0.05 | SMA Exit | $1,648.50 | 97.08% | |
| 2012-03-23 | $1.35 | $0.40 | SMA Exit | $934.60 | 70.31% | |
| 2012-03-30 | $1.18 | $0.05 | SMA Exit | $1,113.70 | 95.75% | |
| 2012-04-20 | $1.86 | $2.20 | SMA Exit | $-359.00 | -18.62% | |
| 2012-04-27 | $1.62 | $1.70 | SMA Exit | $-87.40 | -4.59% | |
| 2012-05-04 | $2.07 | $1.06 | SMA Exit | $998.10 | 48.76% | |
| 2012-05-18 | $2.88 | $0.05 | SMA Exit | $2,820.50 | 98.27% | |
| 2012-05-25 | $1.99 | $0.45 | SMA Exit | $1,527.40 | 77.26% | |
| 2012-06-01 | $2.97 | $0.95 | SMA Exit | $2,009.10 | 68.09% | |
| 2012-06-15 | $2.99 | $0.54 | SMA Exit | $2,440.00 | 81.99% |
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