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 1187 trades that stayed open for an average of 11 days. The results were impressive - winning 71.86% of the time (853 wins vs 334 losses), which shows remarkable consistency. This translated to $893,568.55 in total profits. On average, each position made $752.80. When annualized, that's a 58.3% return (CAGR), which suggests strong growth potential if maintained over time. The journey was quite volatile though - at its worst, the account was down 34.8%, which would require strong conviction to ride out. With a Sharpe ratio of 5.16, 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 | $6.00 | $12.06 | Stop Loss | $-3,039.75 | -100.83% | |
| 2015-01-02 | $5.26 | $10.56 | Stop Loss | $-2,665.55 | -100.95% | |
| 2015-01-08 | $3.58 | $7.22 | Stop Loss | $-1,830.00 | -101.40% | |
| 2015-01-09 | $3.46 | $6.96 | Stop Loss | $-1,766.60 | -101.45% | |
| 2015-01-12 | $3.42 | $6.89 | Stop Loss | $-1,747.15 | -101.46% | |
| 2015-01-05 | $3.80 | $0.05 | Expiration | $1,862.55 | 98.68% | |
| 2015-01-06 | $3.94 | $0.05 | Expiration | $1,929.65 | 98.73% | |
| 2015-01-07 | $5.78 | $0.00 | Expiration | $2,879.10 | 100.00% | |
| 2015-01-13 | $3.71 | $0.00 | Expiration | $1,839.55 | 100.00% | |
| 2015-01-26 | $2.81 | $5.68 | Stop Loss | $-1,444.90 | -101.78% | |
| 2015-01-22 | $3.25 | $6.54 | Stop Loss | $-1,661.00 | -101.54% | |
| 2015-01-23 | $3.29 | $6.62 | Stop Loss | $-1,680.90 | -101.52% | |
| 2015-01-27 | $3.00 | $6.06 | Stop Loss | $-1,540.25 | -101.66% | |
| 2015-01-14 | $6.87 | $0.00 | Expiration | $3,421.50 | 100.00% | |
| 2015-01-15 | $6.24 | $0.00 | Expiration | $3,107.85 | 100.00% | |
| 2015-01-16 | $14.10 | $10.60 | Expiration | $1,737.05 | 24.82% | |
| 2015-01-20 | $3.75 | $0.00 | Expiration | $1,861.05 | 100.00% | |
| 2015-01-21 | $4.05 | $0.00 | Expiration | $2,013.70 | 100.00% | |
| 2015-01-28 | $3.93 | $0.00 | Expiration | $1,950.55 | 100.00% | |
| 2015-01-29 | $4.21 | $0.00 | Expiration | $2,093.75 | 100.00% | |
| 2015-01-30 | $6.75 | $0.00 | Expiration | $3,361.65 | 100.00% | |
| 2015-02-02 | $3.26 | $0.00 | Expiration | $1,616.40 | 100.00% | |
| 2015-02-03 | $2.96 | $0.00 | Expiration | $1,464.70 | 100.00% | |
| 2015-02-04 | $3.97 | $0.00 | Expiration | $1,973.95 | 100.00% | |
| 2015-02-05 | $5.14 | $0.00 | Expiration | $2,559.00 | 100.00% | |
| 2015-02-06 | $3.61 | $0.00 | Expiration | $1,792.70 | 100.00% | |
| 2015-02-09 | $3.22 | $0.00 | Expiration | $1,595.70 | 100.00% | |
| 2015-02-10 | $4.31 | $0.00 | Expiration | $2,143.65 | 100.00% | |
| 2015-02-13 | $3.19 | $0.00 | Expiration | $1,580.75 | 100.00% | |
| 2015-02-17 | $2.28 | $0.00 | Expiration | $1,126.25 | 100.00% | |
| 2015-03-02 | $2.04 | $4.13 | Stop Loss | $-1,058.85 | -102.45% | |
| 2015-02-18 | $4.33 | $0.00 | Expiration | $2,150.55 | 100.00% | |
| 2015-02-19 | $2.17 | $0.00 | Expiration | $1,069.55 | 100.00% | |
| 2015-02-20 | $4.23 | $5.75 | Expiration | $-770.90 | -35.80% | |
| 2015-02-23 | $2.21 | $0.00 | Expiration | $1,094.15 | 100.00% | |
| 2015-02-24 | $4.25 | $13.25 | Expiration | $-4,514.10 | -211.93% | |
| 2015-02-25 | $5.42 | $10.89 | Stop Loss | $-2,748.60 | -100.92% | |
| 2015-02-26 | $2.76 | $5.57 | Stop Loss | $-1,418.90 | -101.81% | |
| 2015-02-27 | $3.41 | $6.87 | Stop Loss | $-1,741.75 | -101.47% | |
| 2015-03-03 | $1.81 | $3.66 | Stop Loss | $-941.35 | -102.77% | |
| 2015-03-04 | $5.50 | $11.04 | Stop Loss | $-2,786.60 | -100.91% | |
| 2015-03-09 | $5.75 | $11.56 | Stop Loss | $-2,915.15 | -100.87% | |
| 2015-03-06 | $5.97 | $0.00 | Expiration | $2,969.85 | 100.00% | |
| 2015-03-10 | $3.55 | $0.00 | Expiration | $1,759.80 | 100.00% | |
| 2015-03-18 | $6.16 | $12.38 | Stop Loss | $-3,120.15 | -100.81% | |
| 2015-03-20 | $2.11 | $4.28 | Stop Loss | $-1,095.35 | -102.36% | |
| 2015-03-23 | $3.17 | $6.39 | Stop Loss | $-1,623.50 | -101.58% | |
| 2015-03-24 | $1.98 | $4.00 | Stop Loss | $-1,026.55 | -102.53% | |
| 2015-03-19 | $7.51 | $15.06 | Stop Loss | $-3,790.60 | -100.67% | |
| 2015-03-11 | $4.45 | $0.00 | Expiration | $2,214.25 | 100.00% |