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 253 trades that stayed open for an average of 4 days. With a solid 51.38% win rate (130 winners and 123 losers), the strategy proved reliable. This translated to $1,417,888.37 in total profits. On average, each position made $5,604.30. When annualized, that's a 72.3% return (CAGR), which suggests strong growth potential if maintained over time. The journey was quite volatile though - at its worst, the account was down 49.3%, which would require strong conviction to ride out. The Sharpe ratio of 1.02 suggests the returns were worth the risk. 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 | $0.86 | $1.77 | Stop Loss | $-5,581.92 | -105.81% | |
| 2020-12-17 | $2.29 | $0.58 | Days In Trade | $-3,516.60 | -74.54% | |
| 2020-12-24 | $1.79 | $3.70 | Days In Trade | $4,634.25 | 106.32% | |
| 2020-12-31 | $0.05 | $3.30 | Days In Trade | $-33,034.00 | -6,204.96% | |
| 2021-01-07 | $2.03 | $1.46 | Days In Trade | $-930.15 | -27.98% | |
| 2021-01-14 | $0.36 | $0.77 | Stop Loss | $-3,912.55 | -113.95% | |
| 2021-01-21 | $3.17 | $1.99 | Days In Trade | $-1,108.26 | -37.20% | |
| 2021-01-28 | $0.49 | $0.04 | Days In Trade | $-2,879.64 | -91.65% | |
| 2021-02-04 | $0.32 | $1.61 | Days In Trade | $10,424.40 | 408.14% | |
| 2021-02-11 | $1.02 | $0.05 | Days In Trade | $-3,176.57 | -95.11% | |
| 2021-02-18 | $0.66 | $1.43 | Days In Trade | $-3,789.02 | -116.61% | |
| 2021-02-25 | $0.21 | $0.47 | Stop Loss | $-3,142.00 | -123.56% | |
| 2021-03-04 | $0.35 | $0.76 | Stop Loss | $-3,454.96 | -114.18% | |
| 2021-03-11 | $1.13 | $1.38 | Days In Trade | $439.56 | 22.30% | |
| 2021-03-18 | $1.62 | $2.75 | Days In Trade | $1,614.90 | 69.68% | |
| 2021-03-25 | $1.38 | $4.39 | Days In Trade | $5,633.50 | 219.34% | |
| 2021-04-01 | $1.96 | $6.03 | Days In Trade | $5,622.40 | 207.69% | |
| 2021-04-08 | $3.49 | $5.96 | Days In Trade | $2,172.69 | 70.64% | |
| 2021-04-15 | $0.62 | $0.05 | Days In Trade | $-3,276.46 | -91.93% | |
| 2021-04-22 | $0.37 | $0.78 | Stop Loss | $-3,975.45 | -113.67% | |
| 2021-04-29 | $1.16 | $0.14 | Days In Trade | $-2,661.25 | -87.59% | |
| 2021-05-06 | $0.43 | $1.52 | Days In Trade | $6,754.15 | 252.86% | |
| 2021-05-13 | $0.25 | $1.69 | Days In Trade | $13,899.00 | 579.31% | |
| 2021-05-20 | $0.04 | $0.13 | Stop Loss | $-1,430.00 | -221.95% | |
| 2021-05-27 | $1.28 | $0.05 | Days In Trade | $-3,706.49 | -96.08% | |
| 2021-06-03 | $2.37 | $3.48 | Days In Trade | $1,583.85 | 46.69% | |
| 2021-06-10 | $0.19 | $0.39 | Days In Trade | $1,508.00 | 108.57% | |
| 2021-06-17 | $0.35 | $0.05 | Days In Trade | $-3,553.00 | -85.95% | |
| 2021-06-24 | $1.31 | $1.96 | Days In Trade | $1,610.01 | 49.42% | |
| 2021-07-01 | $0.82 | $0.05 | Days In Trade | $-3,620.76 | -93.91% | |
| 2021-07-08 | $0.33 | $3.79 | Days In Trade | $34,066.00 | 1,057.03% | |
| 2021-07-15 | $0.28 | $0.61 | Stop Loss | $-3,833.00 | -117.77% | |
| 2021-07-22 | $1.30 | $3.83 | Days In Trade | $9,417.16 | 194.69% | |
| 2021-07-29 | $0.41 | $1.53 | Days In Trade | $10,772.00 | 278.75% | |
| 2021-08-05 | $0.24 | $0.44 | Days In Trade | $1,480.00 | 82.34% | |
| 2021-08-12 | $1.46 | $1.70 | Days In Trade | $773.67 | 16.47% | |
| 2021-08-19 | $0.48 | $1.00 | Stop Loss | $-5,779.00 | -110.51% | |
| 2021-08-26 | $0.18 | $0.40 | Stop Loss | $-2,771.00 | -128.56% | |
| 2021-09-02 | $0.88 | $0.05 | Days In Trade | $-5,612.80 | -94.29% | |
| 2021-09-09 | $1.24 | $1.41 | Days In Trade | $492.35 | 13.38% | |
| 2021-09-16 | $0.42 | $8.68 | Days In Trade | $82,096.00 | 1,955.87% | |
| 2021-09-23 | $2.48 | $1.69 | Days In Trade | $-3,182.12 | -31.73% | |
| 2021-09-30 | $1.88 | $0.93 | Days In Trade | $-4,890.20 | -50.45% | |
| 2021-10-07 | $0.25 | $0.56 | Stop Loss | $-3,564.00 | -119.65% | |
| 2021-10-14 | $0.49 | $3.59 | Days In Trade | $30,479.00 | 626.50% | |
| 2021-10-21 | $1.99 | $3.17 | Days In Trade | $5,881.20 | 59.52% | |
| 2021-10-28 | $1.93 | $3.19 | Days In Trade | $6,657.20 | 65.36% | |
| 2021-11-04 | $0.31 | $1.22 | Days In Trade | $8,591.00 | 298.72% | |
| 2021-11-11 | $0.83 | $2.01 | Days In Trade | $11,299.00 | 142.53% | |
| 2021-11-18 | $2.22 | $2.32 | Days In Trade | $242.46 | 4.36% |