Black Swan Hedge
Black Swan Hedge • Dec 10, 2024 - Dec 10, 2025
Backtest Performance
Backtest Metrics
Backtest Summary
This backtest shows a Black Swan Hedge strategy on SPY from Dec 10, 2024 - Dec 10, 2025, placing 11 trades that stayed open for an average of 31 days. Unfortunately, things didn't work out - despite a 63.64% win rate, the strategy finished down $8,061.60. On average, each trade lost $732.87. The journey was quite volatile though - at its worst, the account was down 21.4%, which would require strong conviction to ride out. The negative Sharpe ratio (-0.05) confirms the risk wasn't justified by the results. This one needs a rethink - the numbers suggest significant changes would be needed to make it work.
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Trade Log
| Date | Entry | Exit | Exit Reason | P&L | Return | Action |
|---|---|---|---|---|---|---|
| 2024-12-11 | $1.09 | $1.59 | Take Profit | $457.90 | 45.43% | |
| 2025-02-19 | $5.76 | $8.60 | Take Profit | $2,793.20 | 49.13% | |
| 2025-01-15 | $3.84 | $5.71 | Take Profit | $1,829.90 | 48.70% | |
| 2025-03-19 | $14.72 | $22.04 | Take Profit | $7,273.45 | 49.66% | |
| 2025-04-23 | $4.83 | $2.47 | Take Profit | $2,327.55 | 48.97% | |
| 2025-05-28 | $2.92 | $0.00 | Expiration | $2,878.60 | 100.00% | |
| 2025-07-02 | $13.00 | $0.00 | Expiration | $-13,041.40 | -100.00% | |
| 2025-08-06 | $5.15 | $0.00 | Expiration | $-5,193.50 | -100.00% | |
| 2025-10-15 | $2.29 | $3.38 | Take Profit | $1,055.60 | 47.82% | |
| 2025-09-10 | $5.47 | $0.00 | Expiration | $-5,509.00 | -100.00% | |
| 2025-11-19 | $2.94 | $0.05 | Backtest Finished | $-2,933.90 | -98.30% |
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