Weekly Options Backtest — Performance Summary & Analysis
| Buy put @ 0.98× price (higher strike) | Pay premium — long leg, bearish |
| Sell put @ 0.95× price (lower strike) | Collect premium — caps max profit |
| Net debit paid at open | Max loss = debit × 100 × qty |
| Profits when AMZN falls below long put strike | Max profit = (width − debit) × 100 × qty |
| Average winner | +$16,516 |
| Average loser | $-11,631 |
| Best trade | +$41,048 (2022-04-04) |
| Worst trade | $-27,795 (2022-02-07) |
| Total gross wins | +$198,188 |
| Total gross losses | $-186,097 |
| Metric | Value | Notes |
|---|---|---|
| Risk per trade (max) | $13,662 avg | Net debit paid — defined risk |
| Max profit per trade | $47,588 avg | Width minus debit |
| Max drawdown | $110,796 | Peak-to-trough cumulative |
| Best single trade | +$41,048 | 2022-04-04 open |
| Worst single trade | $-27,795 | 2022-02-07 open |
Total P&L of +$12,091 over 28 trades — the bearish directional bias aligned with AMZN's 2022 downtrend.
Only 42.9% win rate. As a net-debit strategy, a payoff ratio of 1.42x is needed to be profitable — check if it clears that bar.
Unlike credit spreads, the debit paid is the maximum loss per trade. Losing streaks consume capital faster. Defined risk, but requires directional accuracy to be profitable.
AMZN fell ~50% Jan–Oct 2022. The bearish put spread should have directional tailwind, but intraweek chop (open Monday, close Thursday) may have muted returns or caused whipsaws.
All pricing uses Black-Scholes (European) with 20-day trailing historical vol. No commissions, slippage, pin risk, or early-exercise risk are modelled. Actual results will differ.
| Open Date | Close Date | Expiry | S Open | S Close | Long K / Short K | Width | HV% | Net Debit | Close Value | P&L | Cum P&L |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 2022-01-03 | 2022-01-06 | 2022-01-07 | $3354.79 | $3266.00 | 3290 / 3185 | 105 | 23% | $8.9035 | $24.7184 | +$15,815 | +$15,815 |
| 2022-01-10 | 2022-01-13 | 2022-01-14 | $3212.93 | $3227.58 | 3150 / 3050 | 100 | 22% | $7.0683 | $0.0508 | $-7,017 | +$8,797 |
| 2022-01-24 | 2022-01-27 | 2022-01-28 | $2779.32 | $2794.74 | 2725 / 2640 | 85 | 30% | $11.7881 | $0.4822 | $-11,306 | $-2,508 |
| 2022-01-31 | 2022-02-03 | 2022-02-04 | $2895.51 | $2777.02 | 2840 / 2750 | 90 | 38% | $17.3089 | $54.5717 | +$37,263 | +$34,754 |
| 2022-02-07 | 2022-02-10 | 2022-02-11 | $3168.60 | $3181.15 | 3105 / 3010 | 95 | 66% | $29.7147 | $1.9198 | $-27,795 | +$6,960 |
| 2022-02-14 | 2022-02-17 | 2022-02-18 | $3037.80 | $3093.90 | 2975 / 2885 | 90 | 67% | $28.2236 | $5.8237 | $-22,400 | $-15,440 |
| 2022-02-28 | 2022-03-03 | 2022-03-04 | $3049.47 | $2958.42 | 2990 / 2895 | 95 | 64% | $29.1350 | $43.3469 | +$14,212 | $-1,228 |
| 2022-03-07 | 2022-03-10 | 2022-03-11 | $2908.70 | $2936.23 | 2850 / 2765 | 85 | 37% | $16.0992 | $0.7055 | $-15,394 | $-16,622 |
| 2022-03-14 | 2022-03-17 | 2022-03-18 | $2910.28 | $3147.50 | 2850 / 2765 | 85 | 42% | $18.0984 | $0.0000 | $-18,098 | $-34,720 |
| 2022-03-21 | 2022-03-24 | 2022-03-25 | $3222.41 | $3273.14 | 3160 / 3060 | 100 | 47% | $24.2343 | $0.1325 | $-24,102 | $-58,822 |
| 2022-03-28 | 2022-03-31 | 2022-04-01 | $3299.00 | $3264.99 | 3235 / 3135 | 100 | 43% | $22.2917 | $5.0725 | $-17,219 | $-76,041 |
| 2022-04-04 | 2022-04-07 | 2022-04-08 | $3287.78 | $3156.44 | 3220 / 3125 | 95 | 35% | $16.1552 | $57.2035 | +$41,048 | $-34,993 |
| 2022-04-11 | 2022-04-14 | 2022-04-18 | $3050.74 | $3033.94 | 2990 / 2900 | 90 | 35% | $21.6615 | $12.5393 | $-9,122 | $-44,115 |
| 2022-04-18 | 2022-04-21 | 2022-04-22 | $3040.00 | $2968.09 | 2980 / 2890 | 90 | 30% | $12.9046 | $30.8381 | +$17,933 | $-26,182 |
| 2022-04-25 | 2022-04-28 | 2022-04-29 | $2873.68 | $2892.03 | 2815 / 2730 | 85 | 37% | $15.4709 | $2.1237 | $-13,347 | $-39,529 |
| 2022-05-02 | 2022-05-05 | 2022-05-06 | $2446.50 | $2328.43 | 2400 / 2325 | 75 | 66% | $23.8460 | $44.9826 | +$21,137 | $-18,392 |
| 2022-05-09 | 2022-05-12 | 2022-05-13 | $2228.40 | $2140.00 | 2185 / 2115 | 70 | 70% | $22.6727 | $37.6992 | +$15,027 | $-3,366 |
| 2022-05-16 | 2022-05-19 | 2022-05-20 | $2262.87 | $2146.04 | 2220 / 2150 | 70 | 73% | $23.5186 | $48.4934 | +$24,975 | +$21,609 |
| 2022-05-23 | 2022-05-26 | 2022-05-27 | $2162.31 | $2221.53 | 2120 / 2055 | 65 | 76% | $22.2125 | $7.1382 | $-15,074 | +$6,535 |
| 2022-06-06 | 2022-06-09 | 2022-06-10 | $125.34 | $116.16 | 125 / 120 | 5 | 55% | $1.7719 | $4.6567 | +$2,885 | +$9,419 |
| 2022-06-27 | 2022-06-30 | 2022-07-01 | $117.12 | $106.42 | 115 / 110 | 5 | 55% | $1.2635 | $4.5171 | +$3,254 | +$12,673 |
| 2022-07-18 | 2022-07-21 | 2022-07-22 | $115.06 | $124.68 | 115 / 110 | 5 | 40% | $1.5397 | $0.0000 | $-1,540 | +$11,133 |
| 2022-07-25 | 2022-07-28 | 2022-07-29 | $122.73 | $122.27 | 120 / 115 | 5 | 41% | $0.8394 | $0.3254 | $-514 | +$10,619 |
| 2022-08-08 | 2022-08-11 | 2022-08-12 | $141.89 | $140.70 | 140 / 135 | 5 | 52% | $1.4534 | $0.9844 | $-469 | +$10,150 |
| 2022-08-15 | 2022-08-18 | 2022-08-19 | $142.79 | $142.37 | 140 / 135 | 5 | 53% | $1.2762 | $0.1023 | $-1,174 | +$8,976 |
| 2022-08-22 | 2022-08-25 | 2022-08-26 | $135.65 | $137.29 | 135 / 130 | 5 | 54% | $1.7410 | $0.2157 | $-1,525 | +$7,451 |
| 2022-09-12 | 2022-09-15 | 2022-09-16 | $134.14 | $126.36 | 130 / 125 | 5 | 33% | $0.3952 | $3.3144 | +$2,919 | +$10,370 |
| 2022-09-19 | 2022-09-22 | 2022-09-23 | $122.20 | $117.29 | 120 / 115 | 5 | 41% | $0.9587 | $2.6800 | +$1,721 | +$12,091 |