Credit Put Spread
Credit Put Spread • Dec 31, 2014 - Dec 31, 2019
Backtest Performance
Backtest Metrics
Backtest Summary
This backtest shows a Credit Put Spread strategy on SPY from Dec 31, 2014 - Dec 31, 2019, placing 1183 trades that stayed open for an average of 11 days. The results were impressive - winning 70.33% of the time (832 wins vs 351 losses), which shows remarkable consistency. This translated to $1,289,004.25 in total profits. On average, each position made $1,089.61. When annualized, that's a 69.3% return (CAGR), which suggests strong growth potential if maintained over time. The journey was quite volatile though - at its worst, the account was down 48.2%, which would require strong conviction to ride out. With a Sharpe ratio of 4.99, 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 |
|---|---|---|---|---|---|---|
| 2014-12-31 | $4.97 | $9.99 | Stop Loss | $-2,523.00 | -101.01% | |
| 2015-01-02 | $7.41 | $14.86 | Stop Loss | $-3,740.55 | -100.68% | |
| 2015-01-08 | $5.93 | $11.91 | Stop Loss | $-3,003.50 | -100.84% | |
| 2015-01-09 | $5.41 | $10.88 | Stop Loss | $-2,744.85 | -100.92% | |
| 2015-01-12 | $5.66 | $11.37 | Stop Loss | $-2,868.15 | -100.88% | |
| 2015-01-05 | $5.77 | $0.05 | Expiration | $2,845.30 | 99.13% | |
| 2015-01-06 | $6.46 | $0.05 | Expiration | $3,193.15 | 99.23% | |
| 2015-01-07 | $6.66 | $0.00 | Expiration | $3,314.60 | 100.00% | |
| 2015-01-13 | $6.40 | $0.00 | Expiration | $3,189.30 | 100.00% | |
| 2015-01-26 | $5.71 | $11.48 | Stop Loss | $-2,894.40 | -100.88% | |
| 2015-01-22 | $6.34 | $12.73 | Stop Loss | $-3,209.00 | -100.79% | |
| 2015-01-23 | $6.08 | $12.20 | Stop Loss | $-3,076.15 | -100.82% | |
| 2015-01-27 | $6.81 | $13.67 | Stop Loss | $-3,443.00 | -100.73% | |
| 2015-01-14 | $9.77 | $0.00 | Expiration | $4,871.25 | 100.00% | |
| 2015-01-15 | $8.69 | $0.00 | Expiration | $4,333.35 | 100.00% | |
| 2015-01-16 | $9.18 | $0.00 | Expiration | $4,577.80 | 100.00% | |
| 2015-01-20 | $6.70 | $0.00 | Expiration | $3,339.30 | 100.00% | |
| 2015-01-21 | $6.85 | $0.00 | Expiration | $3,411.45 | 100.00% | |
| 2015-01-28 | $6.81 | $0.00 | Expiration | $3,391.30 | 100.00% | |
| 2015-01-29 | $6.68 | $0.00 | Expiration | $3,326.75 | 100.00% | |
| 2015-01-30 | $7.87 | $0.00 | Expiration | $3,922.40 | 100.00% | |
| 2015-02-02 | $5.81 | $0.00 | Expiration | $2,892.15 | 100.00% | |
| 2015-02-03 | $6.65 | $0.00 | Expiration | $3,312.45 | 100.00% | |
| 2015-02-04 | $7.84 | $0.00 | Expiration | $3,908.20 | 100.00% | |
| 2015-02-05 | $9.41 | $0.00 | Expiration | $4,693.50 | 100.00% | |
| 2015-02-06 | $6.13 | $0.00 | Expiration | $3,050.70 | 100.00% | |
| 2015-02-09 | $6.68 | $0.00 | Expiration | $3,328.95 | 100.00% | |
| 2015-02-10 | $4.31 | $0.00 | Expiration | $2,143.65 | 100.00% | |
| 2015-02-13 | $6.57 | $0.00 | Expiration | $3,271.00 | 100.00% | |
| 2015-02-17 | $4.48 | $0.00 | Expiration | $2,227.50 | 100.00% | |
| 2015-02-18 | $5.71 | $3.25 | Expiration | $1,216.80 | 43.08% | |
| 2015-02-19 | $3.96 | $0.75 | Expiration | $1,593.55 | 81.08% | |
| 2015-02-20 | $4.23 | $5.75 | Expiration | $-770.90 | -35.80% | |
| 2015-02-23 | $3.61 | $8.25 | Expiration | $-2,333.10 | -128.54% | |
| 2015-02-24 | $3.75 | $10.75 | Expiration | $-3,511.35 | -186.41% | |
| 2015-02-25 | $4.20 | $8.45 | Stop Loss | $-2,137.10 | -101.19% | |
| 2015-02-26 | $4.25 | $8.54 | Stop Loss | $-2,160.65 | -101.18% | |
| 2015-02-27 | $3.94 | $7.94 | Stop Loss | $-2,010.00 | -101.27% | |
| 2015-03-02 | $3.47 | $7.00 | Stop Loss | $-1,774.60 | -101.44% | |
| 2015-03-03 | $2.93 | $5.91 | Stop Loss | $-1,502.85 | -101.71% | |
| 2015-03-09 | $5.75 | $11.56 | Stop Loss | $-2,915.15 | -100.87% | |
| 2015-03-06 | $6.67 | $0.00 | Expiration | $3,320.35 | 100.00% | |
| 2015-03-10 | $5.94 | $0.00 | Expiration | $2,957.55 | 100.00% | |
| 2015-03-18 | $7.88 | $15.81 | Stop Loss | $-3,977.90 | -100.63% | |
| 2015-03-20 | $3.34 | $6.72 | Stop Loss | $-1,706.35 | -101.50% | |
| 2015-03-23 | $4.31 | $8.67 | Stop Loss | $-2,194.00 | -101.16% | |
| 2015-03-24 | $3.80 | $7.65 | Stop Loss | $-1,937.05 | -101.32% | |
| 2015-03-19 | $5.77 | $11.58 | Stop Loss | $-2,920.85 | -100.87% | |
| 2015-03-11 | $7.33 | $0.00 | Expiration | $3,653.00 | 100.00% | |
| 2015-03-12 | $6.57 | $0.00 | Expiration | $3,269.55 | 100.00% |