Diagonal Spread
Diagonal Spread • Dec 10, 2020 - Dec 10, 2025
Backtest Performance
Backtest Metrics
Backtest Summary
This backtest shows a Diagonal Spread strategy on SPY from Dec 10, 2020 - Dec 10, 2025, placing 253 trades that stayed open for an average of 4 days. With a solid 56.52% win rate (143 winners and 110 losers), the strategy proved reliable. This translated to $3,071,878.42 in total profits. On average, each position made $12,141.81. When annualized, that's a 99.7% return (CAGR), which suggests strong growth potential if maintained over time. The journey was quite volatile though - at its worst, the account was down 27.3%, which would require strong conviction to ride out. The Sharpe ratio of 1.15 suggests the returns were worth the risk. Notably, the strategy captured 96.0% of the premium sold, which is excellent. Overall, this is a viable strategy that could be improved with some fine-tuning.
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Trade Log
| Date | Entry | Exit | Exit Reason | P&L | Return | Action |
|---|---|---|---|---|---|---|
| 2020-12-10 | $0.24 | $1.40 | Days In Trade | $11,104.00 | 487.38% | |
| 2020-12-17 | $1.83 | $0.15 | Days In Trade | $-5,180.40 | -91.72% | |
| 2020-12-24 | $1.90 | $3.70 | Days In Trade | $4,706.10 | 94.38% | |
| 2020-12-31 | $1.08 | $2.22 | Days In Trade | $5,574.30 | 106.09% | |
| 2021-01-07 | $1.88 | $1.29 | Days In Trade | $-1,918.80 | -31.31% | |
| 2021-01-14 | $1.95 | $0.05 | Days In Trade | $-5,661.67 | -97.44% | |
| 2021-01-21 | $2.35 | $1.21 | Days In Trade | $-2,740.22 | -48.55% | |
| 2021-01-28 | $0.36 | $0.07 | Days In Trade | $-3,431.00 | -81.02% | |
| 2021-02-04 | $1.14 | $3.91 | Days In Trade | $11,933.68 | 241.96% | |
| 2021-02-11 | $1.01 | $0.05 | Days In Trade | $-5,661.04 | -95.04% | |
| 2021-02-18 | $0.98 | $0.95 | Days In Trade | $-407.00 | -2.25% | |
| 2021-02-25 | $2.23 | $0.18 | Days In Trade | $4,782.72 | 91.82% | |
| 2021-03-04 | $1.37 | $5.96 | Days In Trade | $18,613.59 | 335.13% | |
| 2021-03-11 | $0.08 | $0.80 | Days In Trade | $-7,674.00 | -890.91% | |
| 2021-03-18 | $0.42 | $1.04 | Days In Trade | $-6,675.00 | -144.89% | |
| 2021-03-25 | $0.09 | $0.22 | Stop Loss | $-1,893.00 | -157.27% | |
| 2021-04-01 | $1.26 | $5.16 | Days In Trade | $17,285.40 | 307.98% | |
| 2021-04-08 | $1.67 | $3.83 | Days In Trade | $8,219.25 | 129.40% | |
| 2021-04-15 | $0.96 | $0.37 | Days In Trade | $-4,737.70 | -61.97% | |
| 2021-04-22 | $0.11 | $0.28 | Stop Loss | $-2,148.00 | -144.33% | |
| 2021-04-29 | $0.67 | $0.01 | Days In Trade | $-7,112.16 | -98.78% | |
| 2021-05-06 | $0.19 | $1.33 | Days In Trade | $10,821.00 | 583.69% | |
| 2021-05-13 | $0.18 | $0.40 | Stop Loss | $-2,783.00 | -128.36% | |
| 2021-05-20 | $0.05 | $0.16 | Stop Loss | $-1,568.00 | -191.24% | |
| 2021-05-27 | $0.50 | $0.05 | Days In Trade | $-4,972.00 | -89.90% | |
| 2021-06-03 | $3.67 | $5.39 | Days In Trade | $2,829.99 | 46.80% | |
| 2021-06-10 | $0.59 | $0.83 | Days In Trade | $1,871.00 | 40.48% | |
| 2021-06-17 | $0.79 | $0.30 | Days In Trade | $-4,524.24 | -61.63% | |
| 2021-06-24 | $2.08 | $3.17 | Days In Trade | $3,120.60 | 52.56% | |
| 2021-07-01 | $2.03 | $0.05 | Days In Trade | $-6,497.92 | -97.54% | |
| 2021-07-08 | $0.65 | $1.35 | Stop Loss | $-7,222.08 | -107.69% | |
| 2021-07-15 | $1.97 | $6.25 | Days In Trade | $12,250.47 | 216.58% | |
| 2021-07-22 | $0.61 | $3.87 | Days In Trade | $32,058.00 | 535.91% | |
| 2021-07-29 | $0.17 | $1.85 | Days In Trade | $16,333.00 | 997.22% | |
| 2021-08-05 | $0.07 | $0.19 | Stop Loss | $-1,716.00 | -171.84% | |
| 2021-08-12 | $0.63 | $1.05 | Days In Trade | $3,631.00 | 65.77% | |
| 2021-08-19 | $2.25 | $0.05 | Days In Trade | $-9,026.80 | -97.78% | |
| 2021-08-26 | $0.41 | $0.87 | Stop Loss | $-5,135.00 | -112.15% | |
| 2021-09-02 | $1.29 | $0.05 | Days In Trade | $-8,294.40 | -96.14% | |
| 2021-09-09 | $0.61 | $2.60 | Days In Trade | $19,419.00 | 328.38% | |
| 2021-09-16 | $0.05 | $0.15 | Stop Loss | $-1,531.00 | -197.85% | |
| 2021-09-23 | $0.65 | $0.43 | Days In Trade | $-2,760.00 | -34.49% | |
| 2021-09-30 | $0.69 | $0.73 | Days In Trade | $-923.00 | -5.86% | |
| 2021-10-07 | $1.66 | $0.31 | Days In Trade | $-7,183.35 | -81.61% | |
| 2021-10-14 | $0.83 | $4.27 | Days In Trade | $33,574.86 | 416.07% | |
| 2021-10-21 | $1.72 | $3.05 | Days In Trade | $7,266.36 | 77.20% | |
| 2021-10-28 | $0.81 | $2.27 | Days In Trade | $14,107.00 | 180.51% | |
| 2021-11-04 | $1.24 | $3.09 | Days In Trade | $15,819.76 | 149.35% | |
| 2021-11-11 | $0.91 | $0.55 | Days In Trade | $3,096.00 | 39.76% | |
| 2021-11-18 | $1.12 | $1.46 | Days In Trade | $2,939.00 | 30.92% |