Credit Put Spread
Credit Put Spread • Dec 10, 2020 - Dec 10, 2025
Backtest Performance
Backtest Metrics
Backtest Summary
This backtest shows a Credit Put Spread strategy on SPX from Dec 10, 2020 - Dec 10, 2025, placing 252 trades that stayed open for an average of 6 days. With a solid 68.25% win rate (172 winners and 80 losers), the strategy proved reliable. This translated to $601,829.53 in total profits. On average, each position made $2,388.21. When annualized, that's a 47.7% return (CAGR), which suggests strong growth potential if maintained over time. The journey was quite volatile though - at its worst, the account was down 59.5%, which would require strong conviction to ride out. The Sharpe ratio of 0.69 shows modest risk-adjusted performance. 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 | $16.63 | $0.00 | Expiration | $9,963.30 | 100.00% | |
| 2020-12-17 | $15.44 | $14.62 | Expiration | $554.68 | 5.30% | |
| 2020-12-24 | $14.04 | $0.00 | Expiration | $9,806.44 | 100.00% | |
| 2020-12-31 | $16.51 | $0.40 | Expiration | $11,256.84 | 97.58% | |
| 2021-01-07 | $15.94 | $0.00 | Expiration | $12,734.72 | 100.00% | |
| 2021-01-14 | $16.38 | $0.00 | Expiration | $13,084.40 | 100.00% | |
| 2021-01-21 | $14.55 | $60.00 | Expiration | $-45,480.90 | -312.51% | |
| 2021-01-28 | $17.23 | $0.00 | Expiration | $10,325.22 | 100.00% | |
| 2021-02-04 | $14.36 | $0.00 | Expiration | $11,468.64 | 100.00% | |
| 2021-02-11 | $15.46 | $0.00 | Expiration | $12,347.68 | 100.00% | |
| 2021-02-18 | $15.49 | $0.00 | Expiration | $13,921.92 | 100.00% | |
| 2021-02-25 | $18.59 | $0.00 | Expiration | $14,848.16 | 100.00% | |
| 2021-03-04 | $20.64 | $0.00 | Expiration | $16,488.48 | 100.00% | |
| 2021-03-11 | $17.03 | $0.00 | Expiration | $17,006.70 | 100.00% | |
| 2021-03-18 | $17.68 | $0.05 | Expiration | $17,604.50 | 99.72% | |
| 2021-03-25 | $15.57 | $0.05 | Expiration | $15,490.10 | 99.68% | |
| 2021-04-01 | $13.73 | $0.05 | Expiration | $13,650.60 | 99.64% | |
| 2021-04-08 | $15.16 | $0.00 | Expiration | $15,131.10 | 100.00% | |
| 2021-04-15 | $14.50 | $0.00 | Expiration | $14,471.60 | 100.00% | |
| 2021-04-22 | $16.82 | $0.00 | Expiration | $16,791.90 | 100.00% | |
| 2021-04-29 | $15.00 | $44.29 | Expiration | $-29,318.10 | -195.31% | |
| 2021-05-06 | $14.24 | $60.00 | Expiration | $-45,790.60 | -321.48% | |
| 2021-05-13 | $16.95 | $30.90 | Expiration | $-13,975.60 | -82.30% | |
| 2021-05-20 | $15.88 | $0.00 | Expiration | $15,852.40 | 100.00% | |
| 2021-05-27 | $12.70 | $0.00 | Expiration | $12,678.40 | 100.00% | |
| 2021-06-03 | $15.78 | $0.00 | Expiration | $15,749.50 | 100.00% | |
| 2021-06-10 | $13.45 | $5.25 | Expiration | $8,175.10 | 60.97% | |
| 2021-06-17 | $13.78 | $0.00 | Expiration | $13,753.30 | 100.00% | |
| 2021-06-24 | $11.73 | $0.00 | Expiration | $11,706.50 | 100.00% | |
| 2021-07-01 | $10.65 | $0.00 | Expiration | $10,627.00 | 100.00% | |
| 2021-07-08 | $16.09 | $0.00 | Expiration | $16,061.00 | 100.00% | |
| 2021-07-15 | $15.04 | $7.21 | Expiration | $7,807.10 | 52.07% | |
| 2021-07-22 | $13.21 | $0.00 | Expiration | $13,186.20 | 100.00% | |
| 2021-07-29 | $13.71 | $12.78 | Expiration | $903.40 | 6.78% | |
| 2021-08-05 | $15.03 | $0.00 | Expiration | $14,999.40 | 100.00% | |
| 2021-08-12 | $12.95 | $45.89 | Expiration | $-32,968.50 | -254.43% | |
| 2021-08-19 | $15.09 | $0.00 | Expiration | $15,061.00 | 100.00% | |
| 2021-08-26 | $13.71 | $0.00 | Expiration | $13,682.40 | 100.00% | |
| 2021-09-02 | $13.10 | $17.91 | Expiration | $-4,838.30 | -36.74% | |
| 2021-09-09 | $14.64 | $18.98 | Expiration | $-4,369.10 | -29.67% | |
| 2021-09-16 | $14.65 | $60.00 | Expiration | $-45,371.20 | -309.42% | |
| 2021-09-23 | $14.84 | $60.00 | Expiration | $-45,186.20 | -304.32% | |
| 2021-09-30 | $19.34 | $0.00 | Expiration | $19,313.80 | 100.00% | |
| 2021-10-07 | $16.99 | $38.79 | Expiration | $-21,827.00 | -128.32% | |
| 2021-10-14 | $15.78 | $0.00 | Expiration | $15,751.40 | 100.00% | |
| 2021-10-21 | $14.16 | $0.00 | Expiration | $14,130.70 | 100.00% | |
| 2021-10-28 | $15.82 | $0.00 | Expiration | $15,798.40 | 100.00% | |
| 2021-11-04 | $15.08 | $29.07 | Expiration | $-14,011.60 | -92.72% | |
| 2021-11-11 | $15.90 | $0.00 | Expiration | $15,870.90 | 100.00% | |
| 2021-11-18 | $14.47 | $7.19 | Expiration | $7,251.60 | 50.30% |
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