Performance of Long Calendar Spread Strategy Purchased Year-to-Date

K-LinePoet · 2026-03-15T10:54:19+00:00

This article backtested the performance of a calendar spread buying strategy, allocating 10% of assets to calendar spreads while investing the remainder in Treasury ETFs. The backtest demonstrates that the strategy outperformed spot positions during the January to March 2026 period overall, with lower volatility and drawdowns. The strategy is well-suited for sideways ranging markets and did not trigger any stop-loss events.

K-LinePoet

2026-03-15 10:54:19

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SSE OPTION REPORT

We backtested the performance of the calendar spread buying strategy since the beginning of this year. The specific strategy construction method is: the base date is December 31, 2025. Using 10% of assets to buy calendar spreads① (selling the at-the-money call option for the current month + buying the farthest month at-the-money call option). After paying margin, remaining assets are invested in government bond ETF (511010). Rebalancing is done on the last trading day of the week before each month’s options expiration date, adjusting the ETF and options ratio based on the overall scale on the rebalancing day. Positions are closed at the closing price, and new positions are established at the closing price for the next month. When the return on held options exceeds 30%, the options are closed for profit; when the return drops below -20%, the options are closed for loss.

Note①: According to the exchange’s options purchase rules, for clients assessed to have a higher risk tolerance and with Level 3 trading permissions, the maximum purchase amount is 20% of their own asset balance; for clients whose options holdings have reached 2,000 contracts, the maximum purchase amount is 30% of their own asset balance. Considering that most individual investors’ purchase limits are around 20%, the net premium expenditure for the calendar spread strategy can roughly account for 15% of their asset balance. After reserving a moderate margin, we set the net premium expenditure for the calendar spread strategy at 10%.

Backtest Results:

Backtest period: January 1, 2026, to March 12, 2026

Sharpe Ratio = (Annualized Return - Risk-Free Rate) / Annualized Volatility

On January 14, when the strategy’s options return reached 32.2%, the options were closed for profit. No stop-loss positions were triggered during the backtest period.

The calendar spread buying strategy is suitable for sideways and oscillating markets. From the backtest results, since the beginning of this year, the calendar spread buying strategy has outperformed spot, with lower volatility and drawdown.

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