Long Straddle
Long Straddle • Dec 10, 2015 - Dec 10, 2025
Backtest Performance
Backtest Metrics
Backtest Summary
This backtest shows a Long Straddle strategy on SPX from Dec 10, 2015 - Dec 10, 2025, placing 324 trades that stayed open for an average of 32 days. The results were impressive - winning 95.06% of the time (308 wins vs 16 losses), which shows remarkable consistency. This translated to $913,551.33 in total profits. On average, each position made $2,819.60. When annualized, that's a 26.1% return (CAGR), which suggests strong growth potential if maintained over time. The journey was quite volatile though - at its worst, the account was down 20.5%, which would require strong conviction to ride out. With a Sharpe ratio of 3.53, 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 |
|---|---|---|---|---|---|---|
| 2015-12-11 | $38.95 | $27.31 | Take Profit | $1,160.89 | 29.87% | |
| 2015-12-18 | $43.75 | $30.67 | Take Profit | $1,304.84 | 29.89% | |
| 2016-01-15 | $37.13 | $26.04 | Take Profit | $1,106.27 | 29.87% | |
| 2016-01-08 | $41.30 | $28.96 | Take Profit | $1,231.42 | 29.88% | |
| 2016-02-05 | $30.47 | $21.38 | Take Profit | $906.46 | 29.84% | |
| 2016-01-29 | $52.37 | $36.71 | Take Profit | $1,563.40 | 29.90% | |
| 2016-02-19 | $35.42 | $24.84 | Take Profit | $1,054.86 | 29.86% | |
| 2016-03-04 | $52.82 | $37.03 | Take Profit | $1,577.08 | 29.91% | |
| 2016-04-15 | $35.16 | $24.66 | Take Profit | $1,047.29 | 29.86% | |
| 2016-05-06 | $32.96 | $23.12 | Take Profit | $981.10 | 29.85% | |
| 2016-05-13 | $53.73 | $37.66 | Take Profit | $1,604.31 | 29.91% | |
| 2016-06-03 | $48.58 | $34.05 | Take Profit | $1,449.68 | 29.90% | |
| 2016-07-01 | $22.03 | $15.47 | Take Profit | $653.31 | 29.77% | |
| 2016-07-15 | $36.53 | $25.62 | Take Profit | $1,088.25 | 29.86% | |
| 2016-07-22 | $23.95 | $16.82 | Take Profit | $710.95 | 29.79% | |
| 2016-07-08 | $34.92 | $24.50 | Take Profit | $1,040.06 | 29.86% | |
| 2016-08-05 | $29.18 | $20.47 | Take Profit | $867.73 | 29.83% | |
| 2016-08-12 | $46.87 | $32.86 | Take Profit | $1,398.44 | 29.89% | |
| 2016-09-09 | $36.88 | $25.87 | Take Profit | $1,098.85 | 29.86% | |
| 2016-09-02 | $40.19 | $28.18 | Take Profit | $1,198.15 | 29.88% | |
| 2016-09-30 | $34.50 | $24.20 | Take Profit | $1,027.25 | 29.86% | |
| 2016-09-23 | $33.96 | $23.82 | Take Profit | $1,011.29 | 29.85% | |
| 2016-10-07 | $22.44 | $15.76 | Take Profit | $665.62 | 29.78% | |
| 2016-11-11 | $19.46 | $13.67 | Take Profit | $576.14 | 29.74% | |
| 2016-11-18 | $24.16 | $16.96 | Take Profit | $717.19 | 29.79% | |
| 2016-10-21 | $53.66 | $50.18 | Early Exit | $345.30 | 6.48% | |
| 2016-10-28 | $40.79 | $42.05 | Early Exit | $-128.22 | -3.08% | |
| 2016-12-30 | $36.95 | $25.92 | Take Profit | $1,101.01 | 29.86% | |
| 2017-01-06 | $44.13 | $30.94 | Take Profit | $1,316.37 | 29.89% | |
| 2017-01-13 | $36.72 | $25.75 | Take Profit | $1,094.04 | 29.86% | |
| 2017-01-20 | $37.89 | $26.57 | Take Profit | $1,129.17 | 29.87% | |
| 2017-01-27 | $47.33 | $33.18 | Take Profit | $1,412.39 | 29.89% | |
| 2017-02-10 | $40.76 | $28.58 | Take Profit | $1,215.21 | 29.88% | |
| 2017-02-17 | $24.30 | $17.06 | Take Profit | $721.51 | 29.79% | |
| 2017-02-24 | $46.35 | $32.49 | Take Profit | $1,382.86 | 29.89% | |
| 2017-03-17 | $35.33 | $24.78 | Take Profit | $1,052.19 | 29.86% | |
| 2017-03-24 | $35.25 | $24.72 | Take Profit | $1,049.77 | 29.86% | |
| 2017-03-31 | $40.66 | $28.51 | Take Profit | $1,212.07 | 29.88% | |
| 2017-04-07 | $30.17 | $21.17 | Take Profit | $897.50 | 29.83% | |
| 2017-04-21 | $21.32 | $14.97 | Take Profit | $631.89 | 29.77% | |
| 2017-03-10 | $29.55 | $0.05 | Early Exit | $2,947.19 | 99.83% | |
| 2017-04-28 | $28.23 | $19.81 | Take Profit | $839.42 | 29.82% | |
| 2017-05-05 | $26.17 | $18.37 | Take Profit | $777.56 | 29.81% | |
| 2017-05-12 | $35.50 | $24.90 | Take Profit | $1,057.52 | 29.86% | |
| 2017-05-19 | $31.31 | $21.96 | Take Profit | $931.59 | 29.84% | |
| 2017-05-26 | $27.74 | $19.47 | Take Profit | $824.59 | 29.82% | |
| 2017-06-09 | $49.28 | $34.54 | Take Profit | $1,470.74 | 29.90% | |
| 2017-06-02 | $38.81 | $27.22 | Take Profit | $1,156.62 | 29.87% | |
| 2017-07-07 | $26.08 | $18.31 | Take Profit | $774.92 | 29.81% | |
| 2017-06-30 | $20.35 | $14.29 | Take Profit | $602.85 | 29.75% |