Put Credit Spread Backtest Results: SPY Performance Across 8 Variations
The best performing variation: 30-delta short strike, 45 DTE, 50% profit target, 200% stop loss. This setup returned 28.4% annually on SPY over 10 years with a 74.1% win rate, 1.38 Sharpe ratio, and -16.2% max drawdown. The worst? 20-delta, 21 DTE with a 75% profit target — only 18.9% annual return with higher drawdowns.
If you're selling put credit spreads (bull put spreads), the specific parameters you choose matter more than most traders realize. I tested 8 distinct combinations to find out exactly how much.
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Why Parameter Selection Matters More Than Strategy Selection
Here's something I've learned after years of trading spreads: picking "put credit spread" as your strategy is maybe 40% of the decision. The other 60% is parameter selection — your delta, DTE, profit target, and stop loss.
Two traders can both sell put credit spreads on SPY and have wildly different returns. One might make 28% annually while the other makes 15%. Same strategy. Same underlying. Completely different outcomes.
That's why backtesting specific variations matters. And it's why I ran 8 of them through OptionsPilot's backtester with 10 years of SPY data.
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The 8 Variations Tested
I varied four parameters across two settings each, creating 8 representative combinations that cover the spectrum of how traders actually trade put credit spreads.
Parameters Varied
| Parameter | Setting A | Setting B |
Fixed Parameters (Same for All Variations)
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Complete Results Table
Here are all 8 variations, ranked by annual return:
| Rank | Delta | DTE | Profit Target | Stop Loss | Win Rate | Avg P/L | Annual Return | Max DD | Sharpe |
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Deep Dive: What Each Parameter Does to Your Returns
Delta Impact: 0.20 vs 0.30
The 30-delta variations consistently outperformed the 20-delta variations in raw return. But look at the risk side:
The 30-delta gives you about 3.4% more annual return, but your drawdowns are 40% worse and your Sharpe ratio is lower. On a risk-adjusted basis, 20-delta is actually the better trade.
My take: if you can handle watching your account drop 18-19% in a bad month, 30-delta is worth it. If that would make you panic-close positions, stick with 20-delta. The worst thing you can do is choose 30-delta and then override your stop loss during a crash.
DTE Impact: 21 vs 45 Days
This one surprised me. I expected 21 DTE to win because of faster theta decay, but 45 DTE consistently outperformed:
45 DTE won on literally every metric. Higher returns, higher win rates, lower drawdowns, higher Sharpe. Why?
Two reasons. First, 45 DTE gives the trade more time to work. A short-term move against you at 21 DTE can blow through your stop, while at 45 DTE you still have time for mean reversion. Second, the 50% profit target is reached earlier in the 45 DTE cycle because the initial credit is larger, so you're actually in the trade for fewer calendar days on average despite starting at 45.
This is consistent with research from tastytrade and others — the "sweet spot" for premium selling is 30-60 DTE.
Profit Target Impact: 50% vs 75%
Taking profits at 50% of max profit dramatically improved risk-adjusted returns:
The 50% target wins on all metrics, though the margin is smaller than the delta and DTE impacts.
The intuition: every day you stay in a credit spread past 50% profit, you're risking the majority of your remaining possible gain for diminishing returns. At 50% profit, you've captured the fat part of the theta curve. The last 50% is where the bad stuff happens — gamma risk increases, overnight gaps hurt more, and you're sitting through risk for smaller and smaller marginal gains.
I close almost all my credit spreads at 50% profit in live trading. The backtests confirm this is the right call.
Stop Loss Impact: 100% vs 200%
This is where traders argue endlessly. Tight stops or loose stops?
The 200% stop loss won convincingly. And this surprised me at first — isn't a tighter stop supposed to protect you?
The problem with 100% stop losses on credit spreads is that you get stopped out on normal volatility. SPY moves 1-2% in a day regularly. If you sold a spread for $0.50 and your stop is at $1.00, a single bad day can trigger it even if the trade would have eventually been fine.
The 200% stop gives the trade room to breathe. Yes, when you lose, you lose more per trade. But you lose far less often, and the net result is meaningfully better.
That said, the 200% stop means your worst individual trade is larger. If losing 2x your credit on a single trade would destabilize your account, you need smaller position sizes, not tighter stops.
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The Winner: Variation 1 Detailed Breakdown
Let's look at the #1 variation in detail: 30-delta, 45 DTE, 50% profit target, 200% stop loss.
Monthly Returns Distribution
74% of months were positive. The negative months clustered around known volatility events: Feb 2018 (Volmageddon), Q4 2018, March 2020 (COVID), Sep 2022 (rate hike fears), and August 2024 (Japan carry trade unwind).
Performance During Market Crises
The strategy's drawdowns were consistently less severe than SPY's because the credit collected provides a cushion. But make no mistake — you still lose money in crashes. Anyone who tells you put credit spreads are "safe" hasn't traded through March 2020.
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How to Run These Backtests Yourself
I used OptionsPilot's backtester for all of these tests. Here's how to replicate Variation 1:
You'll get the full equity curve, trade log, and every metric I've listed here. Then change the parameters and compare.
The whole process takes about 30 seconds per variation. In an hour, you can test more combinations than I covered here and find the optimal setup for your risk tolerance.
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My Recommendation
If you're trading put credit spreads on SPY, start with Variation 1 (30-delta, 45 DTE, 50% PT, 200% SL) and adjust from there. But honestly, the most important insight from this backtest isn't the specific winner — it's that parameter selection matters enormously.
The difference between the best and worst variation is 9.5% annually. That's the difference between growing $100K to $270K or $170K over 10 years.
Don't guess your parameters. Backtest them.
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Frequently Asked Questions
What is the best delta for put credit spreads?
Based on 10 years of SPY backtesting, 30-delta short strikes produce higher absolute returns (28.4% vs 24.1% annually for the best setups), but 20-delta delivers better risk-adjusted returns with a higher Sharpe ratio (1.44 vs 1.38) and shallower drawdowns. Choose 30-delta if you want maximum returns and can handle -18% drawdowns. Choose 20-delta for smoother equity curves.
Should I use a 50% or 75% profit target on credit spreads?
50% profit target consistently outperforms 75% in backtesting. The 50% target had higher win rates (76.6% vs 71.8%), lower drawdowns, and slightly better annual returns. The reason: the last 25% of profit carries disproportionate risk from gamma exposure and overnight gaps.
What's the best DTE for selling put credit spreads?
45 DTE outperformed 21 DTE across every metric in this backtest — higher returns, better win rates, lower drawdowns, and higher Sharpe ratios. The 30-60 DTE range is the premium-selling sweet spot because theta decay is meaningful but you still have enough time for temporary moves against you to reverse.
Do put credit spreads work in bear markets?
They underperform but don't necessarily lose money over full bear market cycles. During the 2022 bear market, the best variation had a -9.1% drawdown (vs. SPY's -25.4%). The strategy's defined risk and stop loss prevent catastrophic losses, but you will have losing months during sustained downtrends. Consider reducing position size or widening your short strike delta during confirmed bear markets.