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  • Put Back Spread Non Ratio

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    Sean Gilbert
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    This document appears to be a backtesting report for options trading strategies on the SPDR S&P 500 ETF (SPY) from January 2005 to December 2021. It shows performance metrics like profit/loss per trade, total profit, profit/loss per day, average trade duration, and win rate for several strategies including naked puts, naked calls, put spreads, call spreads, strangles, straddles, iron condors, and covered calls. The report allows filtering trades by date range, maximum profit targets, stop losses, and other parameters.

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    This document appears to be a backtesting report for options trading strategies on the SPDR S&P 500 ETF (SPY) from January 2005 to December 2021. It shows performance metrics like profit/loss per trade, total profit, profit/loss per day, average trade duration, and win rate for several strategies including naked puts, naked calls, put spreads, call spreads, strangles, straddles, iron condors, and covered calls. The report allows filtering trades by date range, maximum profit targets, stop losses, and other parameters.

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    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
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    8 views1 page

    Put Back Spread Non Ratio

    Uploaded by

    Sean Gilbert
    This document appears to be a backtesting report for options trading strategies on the SPDR S&P 500 ETF (SPY) from January 2005 to December 2021. It shows performance metrics like profit/loss per trade, total profit, profit/loss per day, average trade duration, and win rate for several strategies including naked puts, naked calls, put spreads, call spreads, strangles, straddles, iron condors, and covered calls. The report allows filtering trades by date range, maximum profit targets, stop losses, and other parameters.

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    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Flag for inappropriate content
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    of 1

    4/26/22, 4:01 PM eDeltaPro Backtesting


    Date Range Compare Clear All Save All Save as Group
    SYMBOL
     SPDR S&P 500 ETF T… 6M 1Y 2Y 3Y 4Y 5Y 10Y My Dates From: Jan 1, 2005
    SPY To: Dec 31, 2021
    -30
     16
    Δ 
    Long Short 60  Jan 1, 2005 50 - -
    DTE Max
    Dec 31, 2021 MP Stop Loss Tested
    Count Dates

    PUT CALL STK BUY 


    N AKE D P UT $50 $212,155 353%
    ROC
    SPY
    P/L Per Trade Total P/L Symbol
    N AKE D C ALL
    $2.16 23d $145 4251 90%
    PUT S P R E A D P/L Day Avg Duration STD Trades Win Rate

    CALL S P R E AD

    STRA N G L E  16

    STRA D D L E
    PUT CALL STK SELL  60  Jan 1, 2005 50 - -
    DTE Max
    Dec 31, 2021 MP Stop Loss Tested
    IRON C O NDOR Count Dates

    COVE R E D CALL
    $59 $251,414 353%
    ROC
    SPY
    CUSTO M P/L Per Trade Total P/L Symbol

    Trade Frequency  Technical Filters (BETA)  $2.95 20d $307 4258 96%
    P/L Day Avg Duration STD Trades Win Rate
    DTE Trade Daily. No Filters Selected
    ENTRY

     
    CONDITIONS 60 EARNINGS -30
     
     16

    MAX PROFIT EXIT @DTE STOP LOSS 60  Jan 1, 2005 50 - -


    EARLY EXIT
       EXIT WHEN TESTED DTE Max
    Dec 31, 2021 MP Stop Loss Tested
    TRIGGERS 50   Count Dates

    Re-entry 
    Re-entry 
    Do not re-establish, wait until
    Re-entry  Re-entry 
    $36 $152,056 208% SPY
    P/L Per Trade Total P/L ROC Symbol
    RE-ENTRY
    expiration
    CONDITIONS
        $1.55 23d $115 4247 88%
    P/L Day Avg Duration STD Trades Win Rate

    CANCEL RUN S AV E SHARE TRADE


     Revert To Last  Run Backtest  Save Snaphot  Save And Copy Url  Trade This Backtest (Beta)

        
    Win Loss P/L
    $36
    $152,056 $1.55 208% $115

    ‌
    Realized Return Avg P/L P/L Day ROC STD
    Total $234,664 $82,608 $152,056
    -$609 23d $73,164 1.8 Trades 3740 507 4247
    Ending Positions Value Avg Duration Req Capital Loss Ratio
    % Profitable 88%
    $0.00 98049 -15.48%
    Total Commissions Days Held Max Drawdown Average $63 $163 $36

    Largest $2,324

      Some contracts had zero trade volume

    COMMENTS: 4247 Occurrences Processed in 115150ms.

    150,000

    100,000
    P/L

    50,000

    0
    2006 2008 2010 2012 2014 2016 2018 2020

    View Trade Log View Daily Summary More

    NOT ALL CARDS HAVE BEEN SAVED



    Saved Only

    https://backtesting.edeltapro.com/backtest/IRhW6auRxM8kzo0PTsUS 1/1

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