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 81 trades that stayed open for an average of 44 days. The results were impressive - winning 97.53% of the time (79 wins vs 2 losses), which shows remarkable consistency. This translated to $473,981.25 in total profits. On average, each position made $5,851.62. When annualized, that's a 41.8% return (CAGR), which suggests strong growth potential if maintained over time. The account experienced a 16.7% drawdown at its lowest point, which is moderate but manageable. With a Sharpe ratio of 5.50, the returns were excellent relative to the risk taken. The strategy managed to keep 59.6% 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 |
|---|---|---|---|---|---|---|
| 2021-01-08 | $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% | |
| 2021-05-27 | $60.21 | $30.16 | Take Profit | $3,003.09 | 49.92% | |
| 2021-07-23 | $70.06 | $35.08 | Take Profit | $3,495.44 | 49.93% | |
| 2021-09-03 | $99.67 | $49.89 | Take Profit | $4,975.95 | 49.95% | |
| 2021-10-22 | $86.73 | $43.41 | Take Profit | $4,328.74 | 49.94% | |
| 2022-01-07 | $64.22 | $0.05 | Early Exit | $6,414.73 | 99.92% | |
| 2022-03-10 | $57.80 | $28.95 | Take Profit | $2,882.31 | 49.91% | |
| 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% | |
| 2022-10-10 | $105.90 | $53.00 | Take Profit | $5,287.58 | 49.95% | |
| 2022-11-04 | $126.64 | $63.37 | Take Profit | $6,324.41 | 49.96% | |
| 2022-12-02 | $161.41 | $80.75 | Take Profit | $8,062.83 | 49.97% | |
| 2023-01-03 | $90.93 | $45.52 | Take Profit | $4,539.05 | 49.95% | |
| 2023-01-20 | $110.64 | $55.37 | Take Profit | $5,524.44 | 49.95% | |
| 2023-02-03 | $65.64 | $0.05 | Early Exit | $6,556.64 | 99.92% | |
| 2023-03-10 | $97.17 | $48.63 | Take Profit | $4,850.85 | 49.95% | |
| 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% | |
| 2023-06-02 | $55.32 | $27.71 | Take Profit | $2,758.52 | 49.91% | |
| 2023-05-31 | $142.90 | $0.05 | Early Exit | $14,282.19 | 99.97% | |
| 2023-08-10 | $163.98 | $82.04 | Take Profit | $8,191.58 | 49.97% | |
| 2023-08-25 | $44.26 | $22.18 | Take Profit | $2,205.62 | 49.89% | |
| 2023-09-15 | $101.14 | $50.62 | Take Profit | $5,049.42 | 49.95% | |
| 2023-09-13 | $142.19 | $71.15 | Take Profit | $7,101.92 | 49.96% | |
| 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% | |
| 2024-03-27 | $75.54 | $37.82 | Take Profit | $3,769.16 | 49.93% | |
| 2024-04-09 | $40.89 | $0.05 | Early Exit | $4,081.40 | 99.88% | |
| 2024-05-17 | $79.91 | $40.00 | Take Profit | $3,987.73 | 49.94% | |
| 2024-04-24 | $60.01 | $0.05 | Early Exit | $5,993.21 | 99.92% | |
| 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% | |
| 2024-07-10 | $106.55 | $53.33 | Take Profit | $5,319.91 | 49.95% | |
| 2024-06-26 | $128.74 | $72.66 | Early Exit | $5,604.87 | 43.56% | |
| 2024-08-09 | $71.90 | $36.00 | Take Profit | $3,587.48 | 49.93% | |
| 2024-08-30 | $101.11 | $50.61 | Take Profit | $5,048.11 | 49.95% |