SPY Time Spread Trading Performance Analysis
Trading Period: October 15, 2021 - June 25, 2025 | Starting Capital: $5,000
Verified Results: 108 Closed Trades over 3.69 Years
Key Performance Highlights
19.8% CAGR with only -6.97% Max Drawdown
MAR Ratio: 2.85 | Sharpe Ratio: 1.92 | Sortino Ratio: 3.71
Final Account Value: $9,757 (95.14% Total Return)
Performance Summary
The SPY time spread system delivered exceptional risk-adjusted returns over a 3.69-year period based on a $5,000 starting account value, with the objective of keeping maximum drawdown below 10%. The system typically risked 3-6% of account value per trade, averaging approximately 5% across all positions. The strategy generated nearly 20% annual returns while maintaining maximum drawdowns under 7%. The MAR ratio of 2.85 reflects strong risk-adjusted performance, with the strategy achieving the stated drawdown objective of staying below 10%.
Core Performance Metrics
Risk-Adjusted Returns
Trade Statistics
Win/Loss Analysis
Risk & Margin Metrics
Time Analysis
* Total Return on Avg Risk based on $1,500 risk allocation
** Total Return on Avg Margin based on $2,500 margin allocation
Three Ways to Measure Trading Performance
SPY Time Spread Strategy - Understanding Different Measurement Approaches
Advantages
- Simple, intuitive calculation
- Produces eye-catching returns
- Easy to compare across strategies
- Shows return per dollar allocated
Limitations
- Can inflate perceived results
- Ignores time weighting effects
- Doesn't account for position overlap
- Limited scalability analysis
Advantages
- Shows actual account growth
- Includes realistic drawdown analysis
- Answers "What if I invest $X?"
- Most relevant for retail traders
Limitations
- Account size dependent
- Less dramatic headline numbers
- Harder to compare across strategies
- Doesn't isolate risk efficiency
Advantages
- Industry standard metrics
- Scales across all strategies
- Reveals true risk efficiency
- Institutional quality analysis
Limitations
- Less intuitive for beginners
- Requires metric education
- Not immediately actionable
- Abstract for retail traders
Summary
- Different measurement approaches serve different purposes: Tier 1 emphasizes return efficiency, Tier 2 shows realistic account performance, and Tier 3 provides professional risk assessment.
- Tier 1 maximizes marketing impact: By using fixed allocations rather than full account deployment, returns appear higher but may not reflect scalable reality.
- Tier 2 is most relevant for retail traders: Demonstrates actual account growth patterns and provides realistic expectations for position sizing and capital deployment.
- Tier 3 reveals strategy efficiency: Risk-adjusted metrics show how effectively the strategy generates returns per unit of risk, allowing comparison across different approaches.
- Professional perspective: Institutional investors focus primarily on Tier 3 metrics because they need to evaluate risk-adjusted performance across multiple strategies and managers.
- Complete picture requires all three: Each tier provides valuable insights - Tier 1 for efficiency, Tier 2 for realistic expectations, and Tier 3 for professional evaluation.
* Total Return on Risk Allocation based on $1,500 buffered risk allocation
** Total Return on Margin Allocation based on $2,500 buffered margin allocation
Important Notice:
The performance results presented may not be perfectly accurate and are for educational purposes only. This is not investment advice. Past performance does not guarantee future results. Options trading involves substantial risk and may not be suitable for all investors. Please consult with a qualified financial advisor before making any trading decisions.