Credit Put Spread
Credit Put Spread • Dec 10, 2000 - Dec 10, 2025
Backtest Performance
Backtest Metrics
Backtest Summary
This backtest shows a Credit Put Spread strategy on SPX from Dec 10, 2000 - Dec 10, 2025, placing 1193 trades that stayed open for an average of 21 days. With a solid 69.82% win rate (833 winners and 360 losers), the strategy proved reliable. This translated to $1,893,108.58 in total profits. On average, each position made $1,586.85. The 12.7% annualized return (CAGR) shows this could be a solid long-term strategy. The journey was quite volatile though - at its worst, the account was down 28.4%, which would require strong conviction to ride out. With a Sharpe ratio of 2.72, 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 |
|---|---|---|---|---|---|---|
| 2010-11-11 | $17.19 | $0.05 | Early Exit | $3,422.16 | 99.71% | |
| 2010-11-12 | $22.61 | $0.05 | Early Exit | $4,506.40 | 99.78% | |
| 2010-11-15 | $15.21 | $0.05 | Early Exit | $3,027.70 | 99.67% | |
| 2010-11-16 | $22.03 | $0.05 | Early Exit | $4,391.46 | 99.77% | |
| 2010-11-17 | $20.59 | $0.05 | Early Exit | $4,103.64 | 99.76% | |
| 2010-12-29 | $20.04 | $0.05 | Early Exit | $3,993.06 | 99.75% | |
| 2010-12-30 | $23.89 | $0.05 | Early Exit | $4,762.86 | 99.79% | |
| 2010-12-31 | $25.63 | $0.05 | Early Exit | $5,110.26 | 99.80% | |
| 2011-01-03 | $24.69 | $0.05 | Early Exit | $4,922.16 | 99.80% | |
| 2011-01-07 | $25.09 | $0.05 | Early Exit | $5,003.56 | 99.80% | |
| 2011-01-28 | $15.27 | $0.05 | Early Exit | $3,038.98 | 99.67% | |
| 2011-01-31 | $12.28 | $0.05 | Early Exit | $2,440.92 | 99.59% | |
| 2011-02-01 | $12.98 | $0.05 | Early Exit | $2,581.52 | 99.61% | |
| 2011-02-02 | $12.65 | $0.05 | Early Exit | $2,514.20 | 99.60% | |
| 2011-02-03 | $12.52 | $0.05 | Early Exit | $2,488.54 | 99.60% | |
| 2011-02-28 | $13.66 | $27.37 | Stop Loss | $-2,747.56 | -100.37% | |
| 2011-03-03 | $16.73 | $33.50 | Stop Loss | $-3,360.42 | -100.30% | |
| 2011-03-04 | $21.94 | $43.93 | Stop Loss | $-4,402.90 | -100.23% | |
| 2011-03-01 | $16.78 | $0.05 | Early Exit | $3,340.48 | 99.70% | |
| 2011-03-02 | $16.19 | $0.05 | Early Exit | $3,222.84 | 99.69% | |
| 2011-03-15 | $15.60 | $0.05 | Early Exit | $3,105.02 | 99.68% | |
| 2011-03-16 | $18.41 | $0.05 | Early Exit | $3,666.66 | 99.73% | |
| 2011-03-17 | $19.58 | $0.05 | Early Exit | $3,901.30 | 99.74% | |
| 2011-03-31 | $20.68 | $0.05 | Early Exit | $4,121.06 | 99.76% | |
| 2011-04-01 | $15.04 | $0.05 | Early Exit | $2,992.76 | 99.67% | |
| 2011-04-04 | $14.37 | $0.05 | Early Exit | $2,858.06 | 99.65% | |
| 2011-04-05 | $12.59 | $0.05 | Early Exit | $2,503.68 | 99.60% | |
| 2011-04-11 | $13.76 | $0.05 | Early Exit | $2,735.80 | 99.64% | |
| 2011-05-02 | $12.82 | $0.05 | Early Exit | $2,548.90 | 99.61% | |
| 2011-05-03 | $12.96 | $0.05 | Early Exit | $2,577.60 | 99.61% | |
| 2011-05-04 | $13.36 | $0.05 | Early Exit | $2,657.18 | 99.63% | |
| 2011-05-05 | $14.93 | $0.05 | Early Exit | $2,971.16 | 99.67% | |
| 2011-05-06 | $14.33 | $0.05 | Early Exit | $2,850.90 | 99.65% | |
| 2011-05-31 | $17.49 | $35.03 | Stop Loss | $-3,513.08 | -100.29% | |
| 2011-06-01 | $14.84 | $0.05 | Early Exit | $2,953.56 | 99.66% | |
| 2011-06-02 | $20.26 | $0.05 | Early Exit | $4,036.84 | 99.75% | |
| 2011-06-15 | $16.50 | $0.05 | Early Exit | $3,283.84 | 99.70% | |
| 2011-06-16 | $15.83 | $0.05 | Early Exit | $3,150.66 | 99.68% | |
| 2011-07-07 | $23.55 | $47.16 | Stop Loss | $-4,726.02 | -100.21% | |
| 2011-07-01 | $13.63 | $27.32 | Stop Loss | $-2,741.88 | -100.37% | |
| 2011-07-08 | $24.66 | $49.36 | Stop Loss | $-4,946.22 | -100.20% | |
| 2011-06-30 | $13.62 | $0.05 | Early Exit | $2,708.16 | 99.63% | |
| 2011-07-11 | $14.59 | $0.05 | Early Exit | $2,902.86 | 99.66% | |
| 2011-07-14 | $20.41 | $28.98 | Early Exit | $-1,720.64 | -42.03% | |
| 2011-07-29 | $21.18 | $42.41 | Stop Loss | $-4,250.98 | -100.24% | |
| 2011-08-01 | $17.83 | $35.71 | Stop Loss | $-3,581.06 | -100.28% | |
| 2011-08-03 | $23.40 | $46.86 | Stop Loss | $-4,695.72 | -100.21% | |
| 2011-08-02 | $23.33 | $46.70 | Stop Loss | $-4,680.56 | -100.21% | |
| 2011-08-04 | $27.62 | $55.30 | Stop Loss | $-5,539.96 | -100.18% | |
| 2011-08-05 | $26.01 | $52.08 | Stop Loss | $-5,217.72 | -100.19% |