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 366 trades that stayed open for an average of 3 days. Despite winning only 48.63% of trades (178 vs 188), the winners were big enough to generate $3,069,762.08 in profits. On average, each position made $8,387.33. When annualized, that's a 333.9% return (CAGR), which suggests strong growth potential if maintained over time. The journey was quite volatile though - at its worst, the account was down 99.8%, which would require strong conviction to ride out. The Sharpe ratio of 1.41 suggests the returns were worth the risk. The strategy managed to keep 60.8% of the premium collected. While it made money, there's definitely room to improve the consistency and risk management here.
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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 | $888.32 | 487.38% | |
| 2020-12-14 | $0.77 | $0.05 | Days In Trade | $-232.47 | -93.53% | |
| 2020-12-17 | $1.83 | $0.86 | Stop Loss | $-101.50 | -52.74% | |
| 2020-12-21 | $2.28 | $2.57 | Days In Trade | $23.45 | 12.57% | |
| 2020-12-24 | $1.90 | $3.70 | Days In Trade | $174.30 | 94.38% | |
| 2020-12-28 | $2.09 | $2.93 | Days In Trade | $79.16 | 40.45% | |
| 2020-12-31 | $1.08 | $2.22 | Days In Trade | $218.60 | 106.09% | |
| 2021-01-04 | $1.15 | $4.41 | Days In Trade | $-662.32 | -284.43% | |
| 2021-01-07 | $1.88 | $1.29 | Days In Trade | $-63.96 | -31.31% | |
| 2021-01-11 | $1.15 | $0.19 | Days In Trade | $182.54 | 83.61% | |
| 2021-01-14 | $1.95 | $0.93 | Stop Loss | $-107.72 | -52.56% | |
| 2021-01-21 | $2.35 | $1.21 | Days In Trade | $-119.14 | -48.55% | |
| 2021-01-28 | $0.36 | $0.07 | Days In Trade | $-205.86 | -81.02% | |
| 2021-02-01 | $0.17 | $0.31 | Stop Loss | $-225.48 | -79.10% | |
| 2021-02-04 | $1.14 | $3.91 | Days In Trade | $271.22 | 241.96% | |
| 2021-02-11 | $1.01 | $0.05 | Days In Trade | $-202.18 | -95.04% | |
| 2021-02-18 | $0.98 | $0.44 | Stop Loss | $-59.00 | -55.12% | |
| 2021-02-22 | $0.51 | $2.62 | Days In Trade | $617.55 | 417.51% | |
| 2021-02-25 | $2.23 | $0.18 | Days In Trade | $199.28 | 91.82% | |
| 2021-03-01 | $0.59 | $8.32 | Days In Trade | $3,068.04 | 1,301.99% | |
| 2021-03-04 | $1.37 | $5.96 | Days In Trade | $1,815.96 | 335.13% | |
| 2021-03-08 | $0.32 | $0.54 | Stop Loss | $-606.51 | -65.46% | |
| 2021-03-11 | $0.08 | $0.80 | Days In Trade | $-6,599.64 | -890.91% | |
| 2021-03-25 | $0.09 | $0.18 | Stop Loss | $-58.26 | -107.27% | |
| 2021-04-22 | $0.11 | $0.22 | Stop Loss | $-31.68 | -94.33% | |
| 2021-05-06 | $0.19 | $1.33 | Days In Trade | $108.21 | 583.69% | |
| 2021-05-13 | $0.18 | $0.31 | Stop Loss | $-38.03 | -78.36% | |
| 2021-05-17 | $0.22 | $0.45 | Days In Trade | $17.81 | 103.84% | |
| 2021-05-20 | $0.05 | $0.13 | Stop Loss | $-77.64 | -141.24% | |
| 2021-07-12 | $0.03 | $0.09 | Stop Loss | $-104.76 | -223.61% | |
| 2021-08-05 | $0.07 | $0.15 | Stop Loss | $-27.36 | -121.84% | |
| 2021-09-16 | $0.05 | $0.13 | Stop Loss | $-25.51 | -147.85% | |
| 2022-03-14 | $0.02 | $0.08 | Stop Loss | $-56.00 | -300.00% | |
| 2022-03-28 | $0.04 | $0.10 | Stop Loss | $-12.02 | -187.74% | |
| 2022-05-19 | $0.03 | $2.27 | Days In Trade | $218.51 | 7,740.83% | |
| 2022-07-07 | $0.10 | $3.54 | Days In Trade | $677.16 | 3,437.80% | |
| 2022-07-18 | $0.25 | $10.85 | Days In Trade | $3,163.50 | 4,240.50% | |
| 2022-07-21 | $1.30 | $1.99 | Stop Loss | $-224.91 | -53.86% | |
| 2022-07-25 | $0.90 | $7.92 | Days In Trade | $2,788.56 | 783.16% | |
| 2022-07-28 | $1.61 | $4.00 | Days In Trade | $933.92 | 148.03% | |
| 2022-08-01 | $0.67 | $2.28 | Days In Trade | $1,709.18 | 238.92% | |
| 2022-08-04 | $1.82 | $1.18 | Days In Trade | $-342.80 | -34.90% | |
| 2022-08-08 | $1.33 | $0.62 | Stop Loss | $-460.71 | -53.75% | |
| 2022-08-11 | $1.66 | $8.34 | Days In Trade | $3,315.70 | 403.73% | |
| 2022-08-15 | $3.94 | $3.17 | Days In Trade | $-245.58 | -19.47% | |
| 2022-08-18 | $0.63 | $0.05 | Days In Trade | $-1,135.80 | -92.05% | |
| 2022-08-22 | $2.26 | $5.66 | Days In Trade | $1,336.44 | 149.96% | |
| 2022-08-25 | $0.73 | $8.85 | Days In Trade | $12,904.32 | 1,113.01% | |
| 2022-08-29 | $1.71 | $3.83 | Days In Trade | $2,893.94 | 123.80% | |
| 2022-09-01 | $1.34 | $0.62 | Stop Loss | $-1,546.50 | -53.72% |