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 486 trades that stayed open for an average of 3 days. With a solid 50.82% win rate (247 winners and 239 losers), the strategy proved reliable. This translated to $8,429,913.06 in total profits. On average, each position made $17,345.50. When annualized, that's a 284.9% return (CAGR), which suggests strong growth potential if maintained over time. The journey was quite volatile though - at its worst, the account was down 55.1%, which would require strong conviction to ride out. The Sharpe ratio of 1.98 suggests the returns were worth the risk. Notably, the strategy captured 265.2% 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 |
|---|---|---|---|---|---|---|
| 2020-12-10 | $0.88 | $1.81 | Stop Loss | $-477.85 | -105.68% | |
| 2020-12-14 | $0.94 | $1.93 | Stop Loss | $-507.05 | -105.33% | |
| 2020-12-17 | $0.22 | $0.49 | Stop Loss | $-596.40 | -122.50% | |
| 2020-12-21 | $0.05 | $0.15 | Stop Loss | $-1,057.56 | -200.20% | |
| 2020-12-24 | $0.37 | $2.00 | Days In Trade | $-1,492.38 | -438.06% | |
| 2020-12-28 | $0.20 | $0.45 | Stop Loss | $-386.26 | -125.01% | |
| 2020-12-31 | $0.03 | $3.33 | Days In Trade | $32,747.00 | 12,270.26% | |
| 2021-01-04 | $0.06 | $0.16 | Stop Loss | $-1,329.00 | -187.87% | |
| 2021-01-07 | $0.32 | $0.38 | Days In Trade | $211.12 | 19.73% | |
| 2021-01-11 | $1.89 | $4.15 | Days In Trade | $-2,057.76 | -119.49% | |
| 2021-01-14 | $0.70 | $0.05 | Days In Trade | $-1,746.42 | -92.81% | |
| 2021-01-21 | $0.06 | $0.17 | Stop Loss | $-1,356.00 | -183.89% | |
| 2021-01-25 | $0.50 | $1.05 | Stop Loss | $-1,791.49 | -109.96% | |
| 2021-01-28 | $0.24 | $0.52 | Stop Loss | $-1,973.16 | -121.08% | |
| 2021-02-01 | $1.69 | $3.43 | Stop Loss | $-1,411.92 | -102.96% | |
| 2021-02-04 | $0.18 | $3.61 | Days In Trade | $25,223.64 | 1,914.49% | |
| 2021-02-08 | $0.15 | $1.25 | Days In Trade | $10,747.00 | 737.73% | |
| 2021-02-11 | $0.24 | $0.05 | Days In Trade | $-2,136.00 | -78.96% | |
| 2021-02-18 | $0.22 | $2.13 | Days In Trade | $18,828.00 | 857.50% | |
| 2021-02-22 | $0.23 | $0.51 | Stop Loss | $-3,073.00 | -121.62% | |
| 2021-02-25 | $0.77 | $3.12 | Days In Trade | $-11,658.57 | -305.94% | |
| 2021-03-01 | $0.18 | $3.31 | Days In Trade | $31,073.00 | 1,782.31% | |
| 2021-03-04 | $1.12 | $6.40 | Days In Trade | $14,702.52 | 471.28% | |
| 2021-03-08 | $0.20 | $0.46 | Stop Loss | $-2,795.00 | -124.57% | |
| 2021-03-11 | $0.83 | $0.27 | Days In Trade | $3,408.64 | 67.38% | |
| 2021-03-15 | $0.26 | $1.59 | Days In Trade | $13,039.00 | 505.86% | |
| 2021-03-18 | $0.82 | $0.86 | Days In Trade | $-397.98 | -4.06% | |
| 2021-03-22 | $0.11 | $0.28 | Stop Loss | $-1,891.00 | -144.21% | |
| 2021-03-25 | $0.42 | $0.89 | Stop Loss | $-4,940.00 | -111.96% | |
| 2021-03-29 | $0.03 | $0.10 | Stop Loss | $-1,024.00 | -289.39% | |
| 2021-04-01 | $0.14 | $4.59 | Days In Trade | $-44,724.00 | -3,173.73% | |
| 2021-04-05 | $0.18 | $2.66 | Days In Trade | $24,567.00 | 1,414.64% | |
| 2021-04-08 | $0.27 | $2.90 | Days In Trade | $26,056.00 | 972.51% | |
| 2021-04-12 | $0.11 | $3.74 | Days In Trade | $36,069.00 | 3,336.00% | |
| 2021-04-15 | $0.43 | $0.46 | Days In Trade | $71.00 | 7.77% | |
| 2021-04-19 | $0.10 | $0.24 | Stop Loss | $-1,729.00 | -151.60% | |
| 2021-04-22 | $0.55 | $1.14 | Stop Loss | $-6,231.00 | -109.14% | |
| 2021-04-26 | $0.15 | $0.61 | Days In Trade | $4,349.00 | 315.25% | |
| 2021-04-29 | $0.35 | $0.78 | Days In Trade | $4,086.00 | 125.57% | |
| 2021-05-03 | $0.51 | $1.06 | Stop Loss | $-5,820.00 | -109.88% | |
| 2021-05-06 | $0.82 | $1.69 | Stop Loss | $-8,322.57 | -106.11% | |
| 2021-05-10 | $0.35 | $0.76 | Stop Loss | $-4,301.00 | -114.12% | |
| 2021-05-13 | $1.39 | $0.69 | Days In Trade | $3,361.50 | 50.29% | |
| 2021-05-17 | $0.11 | $0.26 | Stop Loss | $-1,833.00 | -146.60% | |
| 2021-05-20 | $0.55 | $1.16 | Stop Loss | $-6,285.00 | -109.05% | |
| 2021-05-24 | $0.41 | $0.77 | Days In Trade | $3,300.00 | 86.34% | |
| 2021-05-27 | $0.69 | $0.05 | Days In Trade | $6,014.26 | 92.75% | |
| 2021-06-03 | $1.32 | $3.25 | Days In Trade | $10,283.76 | 146.01% | |
| 2021-06-07 | $0.54 | $1.41 | Days In Trade | $8,486.00 | 162.11% | |
| 2021-06-10 | $0.13 | $0.37 | Days In Trade | $-2,710.00 | -192.76% |