Butterfly Spread
Butterfly Spread • Jan 1, 2022 - Jan 7, 2026
Backtest Performance
Backtest Metrics
Backtest Summary
This backtest shows a Butterfly Spread strategy on SPX from Jan 1, 2022 - Jan 7, 2026, placing 159 trades that stayed open for an average of 6 days. With a solid 52.83% win rate (84 winners and 75 losers), the strategy proved reliable. This translated to $99,085.61 in total profits. On average, each position made $623.18. When annualized, that's a 81.3% return (CAGR), which suggests strong growth potential if maintained over time. The account experienced a 10.7% drawdown at its lowest point, which is moderate but manageable. The Sharpe ratio of 1.73 suggests the returns were worth the risk. Notably, the strategy captured 197.4% 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 |
|---|---|---|---|---|---|---|
| 2022-01-24 | $1.96 | $3.98 | Stop Loss | $-205.44 | -102.55% | |
| 2022-01-28 | $2.04 | $15.00 | Expiration | $1,291.88 | 634.86% | |
| 2022-02-07 | $3.01 | $0.00 | Expiration | $-305.44 | -100.00% | |
| 2022-02-14 | $1.59 | $0.00 | Expiration | $-162.85 | -100.00% | |
| 2022-02-18 | $0.07 | $0.19 | Stop Loss | $-15.91 | -172.36% | |
| 2022-02-22 | $0.19 | $30.00 | Expiration | $2,977.25 | 15,900.00% | |
| 2022-02-28 | $0.07 | $0.20 | Stop Loss | $-16.35 | -168.03% | |
| 2022-03-01 | $0.93 | $1.91 | Stop Loss | $-102.16 | -105.37% | |
| 2022-03-02 | $0.05 | $0.00 | Expiration | $-9.45 | -100.00% | |
| 2022-03-09 | $1.17 | $2.39 | Stop Loss | $-125.91 | -104.28% | |
| 2022-03-11 | $1.19 | $15.00 | Expiration | $1,377.49 | 1,165.72% | |
| 2022-03-16 | $3.90 | $15.00 | Expiration | $1,105.96 | 284.58% | |
| 2022-03-21 | $2.74 | $15.00 | Expiration | $1,221.95 | 447.35% | |
| 2022-03-28 | $6.73 | $24.33 | Expiration | $1,756.12 | 261.58% | |
| 2022-04-11 | $3.50 | $0.00 | Expiration | $-353.76 | -100.00% | |
| 2022-04-18 | $3.14 | $0.00 | Expiration | $-317.55 | -100.00% | |
| 2022-04-25 | $0.35 | $0.00 | Expiration | $-39.24 | -100.00% | |
| 2022-05-02 | $1.24 | $2.53 | Stop Loss | $-133.13 | -104.03% | |
| 2022-05-04 | $4.44 | $0.00 | Expiration | $-448.37 | -100.00% | |
| 2022-05-10 | $0.67 | $1.40 | Stop Loss | $-76.30 | -107.43% | |
| 2022-05-11 | $2.94 | $5.92 | Stop Loss | $-302.68 | -101.70% | |
| 2022-05-13 | $0.09 | $0.00 | Expiration | $-13.14 | -100.00% | |
| 2022-05-19 | $1.12 | $9.09 | Expiration | $792.89 | 710.81% | |
| 2022-05-25 | $2.18 | $15.00 | Expiration | $1,278.34 | 589.15% | |
| 2022-05-31 | $2.30 | $0.00 | Expiration | $-234.23 | -100.00% | |
| 2022-06-06 | $2.14 | $0.00 | Expiration | $-218.28 | -100.00% | |
| 2022-06-13 | $0.72 | $1.48 | Stop Loss | $-80.63 | -106.98% | |
| 2022-06-16 | $0.92 | $15.00 | Expiration | $1,404.24 | 1,534.70% | |
| 2022-06-22 | $3.09 | $14.83 | Expiration | $1,170.05 | 380.01% | |
| 2022-06-28 | $2.25 | $14.15 | Expiration | $1,185.52 | 527.55% | |
| 2022-07-05 | $2.72 | $30.00 | Expiration | $2,724.26 | 1,004.00% | |
| 2022-07-11 | $1.87 | $0.00 | Expiration | $-190.79 | -100.00% | |
| 2022-07-18 | $2.64 | $15.00 | Expiration | $1,231.60 | 467.32% | |
| 2022-07-25 | $2.46 | $15.00 | Expiration | $1,250.44 | 510.85% | |
| 2022-08-01 | $4.52 | $30.00 | Expiration | $2,544.12 | 563.89% | |
| 2022-08-08 | $4.30 | $15.00 | Expiration | $1,066.17 | 248.98% | |
| 2022-08-15 | $5.83 | $0.00 | Expiration | $-586.62 | -100.00% | |
| 2022-08-22 | $2.68 | $0.00 | Expiration | $-272.32 | -100.00% | |
| 2022-08-29 | $3.71 | $0.00 | Expiration | $-374.53 | -100.00% | |
| 2022-09-02 | $3.72 | $2.63 | Expiration | $-112.93 | -29.29% | |
| 2022-09-08 | $3.38 | $0.00 | Expiration | $-341.74 | -100.00% | |
| 2022-09-14 | $3.23 | $0.00 | Expiration | $-326.55 | -100.00% | |
| 2022-09-20 | $0.16 | $0.00 | Expiration | $-19.80 | -100.00% | |
| 2022-09-26 | $0.20 | $0.46 | Stop Loss | $-29.48 | -124.41% | |
| 2022-09-27 | $0.31 | $30.00 | Expiration | $2,964.64 | 9,466.33% | |
| 2022-10-03 | $0.92 | $0.00 | Expiration | $-96.13 | -100.00% | |
| 2022-10-10 | $0.29 | $14.74 | Expiration | $1,441.09 | 4,998.58% | |
| 2022-10-17 | $1.10 | $15.00 | Expiration | $1,386.34 | 1,267.86% | |
| 2022-10-24 | $1.00 | $5.11 | Expiration | $406.68 | 409.37% | |
| 2022-10-31 | $0.49 | $0.00 | Expiration | $-52.93 | -100.00% |
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