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Backtest - WO Classic Puts

End Balance
$2,503,717 19.0% CAGR
Drawdown
-$513,726 -21.2%
Sortino
0.73 1.21 Sharpe
MAR 0.90
Profit Factor 1.63
Trades 8251
Win Rate 97.5%
Best Mo 21.1%
Worst Mo -11.0%
Positive Mos 79%
Benchmark Comparison
Total Return CAGR Drawdown MAR Sharpe Sortino Ulcer Index Profit Factor Annualized Vol. Correlation Beta
Backtest 400.7% 19.0% -21.2% 0.90 1.21 0.73 1.63 13% 0.60 0.44
SPX 216.5% 13.2% -33.9% 0.39 0.65 0.79 18%
Return %
Drawdown
Backtest Positions
Position Entry Exit
5.5D put 74% PT
SPXW Short Put
25.0% portfolio
20.0% notional withheld
$1.00 fee per contract
$0.05 free to close
1 minute between trades
60% slippage at entry
60% slippage at exit
Sequential
After 9:34 AM EST
1 DTE (1 min - 4 max)
-0.055 PUT Δ
Double 0 DTE at 3:50 PM EST
74% profit target
6.5D put 72% PT
SPXW Short Put
30.0% portfolio
20.0% notional withheld
$1.00 fee per contract
$0.05 free to close
1 minute between trades
60% slippage at entry
60% slippage at exit
Sequential
After 9:34 AM EST
1 DTE (1 min - 4 max)
-0.065 PUT Δ
Double 0 DTE at 3:50 PM EST
72% profit target
7.5D put 69% PT
SPXW Short Put
25.0% portfolio
20.0% notional withheld
$1.00 fee per contract
$0.05 free to close
1 minute between trades
60% slippage at entry
60% slippage at exit
Sequential
After 9:34 AM EST
1 DTE (1 min - 4 max)
-0.075 PUT Δ
Double 0 DTE at 3:50 PM EST
69% profit target
Detailed Stats
Start Date
September 1, 2016
End Date
December 5, 2025
Start Balance
$500,000
End Balance
$2,503,717
Total Fees
$77,374
Return %
400.7%
Return $
$2,003,717
CAGR
19.0%
Drawdown %
-21.2%
Drawdown $
-$513,726
Drawdown Days
472 days
Ulcer Index
N/A
Sortino
0.73
Sharpe
1.21
MAR
0.90
Annual Vol.
13.4%
Correlation
0.60
Beta
0.44
Trades
8251
Winners
8044 (97.5%)
Losers
207
Avg Gain
$243
Avg Winner
$645
Avg Loser
-$15,397
Premium Collected $
$7,059,350
Premium Retained $
$2,081,091
Premium Retained %
29.5%
Regime Attribution
The information provided on Whispertrades is for general information purposes only. No information, materials, services and other content provided on this website constitute solicitation, recommendation, endorsement or any financial, investment, or other advice. Seek independent professional consultation in the form of legal, financial, and fiscal advice before making any investment decision. Past performance may not be indicative of future results.
Equity & Positions
Balance
Positions
Periodic Performance
Yearly Performance
Quarterly Performance
Monthly Performance
Weekly Performance
Daily Performance
Day of Week Performance
Relative Performance
Annual Returns vs Underlying
Daily Returns vs Underlying
Consistency Over Time
Rolling Risk-Adjusted Returns
Win Rate Stability
Trade Distributions
Trade P/L Distribution
Periodic Return Distribution
Trade Duration
Win/Loss Streak Distribution
Trade P/L by Factor
Where the P/L Went
Entry Conditions
P/L by VIX at Entry
P/L by IV at Entry
P/L by Entry-Day Underlying Move
P/L by Time of Day (ET)
Outcome by Entry Delta
Volatility Regime Matrix
The matrix uses wider bands than the charts above, and needs both of its axes captured on a trade, so counts can differ.
P/L by Underlying Move During Trade
P/L by VIX Move During Trade
P/L by GEX Regime
P/L by Total GEX
Fill Quality
Spread Size and Slippage vs Mid
How Exits Were Priced
Drawdown Anatomy
Drawdown Episodes
Top 5 Drawdowns
Yearly Results

  • Year

    Backtest

    SPX

  • 3.4%
    3.3%
    September
    -1.6%
    0.0%
    October
    1.6%
    -1.9%
    November
    2.0%
    3.4%
    December
    1.3%
    1.8%
  • 17.9%
    18.0%
    January
    1.5%
    1.8%
    February
    1.1%
    3.7%
    March
    1.4%
    0.0%
    April
    1.5%
    0.9%
    May
    1.3%
    1.2%
    June
    1.4%
    0.5%
    July
    1.2%
    2.0%
    August
    1.6%
    0.1%
    September
    1.4%
    1.9%
    October
    1.3%
    2.2%
    November
    1.6%
    2.8%
    December
    1.2%
    1.0%
  • 12.1%
    -5.0%
    January
    1.6%
    5.5%
    February
    -0.8%
    -3.7%
    March
    4.1%
    -2.6%
    April
    3.4%
    0.4%
    May
    2.5%
    2.2%
    June
    2.1%
    0.5%
    July
    2.3%
    3.6%
    August
    2.0%
    3.0%
    September
    1.6%
    0.5%
    October
    -4.2%
    -7.0%
    November
    3.3%
    1.9%
    December
    -5.9%
    -9.3%
  • 22.2%
    26.2%
    January
    4.4%
    7.7%
    February
    2.0%
    3.0%
    March
    2.0%
    1.8%
    April
    1.9%
    3.9%
    May
    2.8%
    -6.7%
    June
    2.9%
    6.7%
    July
    1.3%
    1.3%
    August
    -0.4%
    -1.6%
    September
    2.9%
    1.7%
    October
    -2.6%
    2.1%
    November
    1.5%
    3.4%
    December
    1.8%
    2.8%
  • 62.3%
    21.1%
    January
    -2.7%
    -0.1%
    February
    -2.8%
    -8.5%
    March
    21.1%
    -9.7%
    April
    10.5%
    12.7%
    May
    2.3%
    4.6%
    June
    3.3%
    2.2%
    July
    5.0%
    5.4%
    August
    3.2%
    6.8%
    September
    4.3%
    -3.8%
    October
    -1.7%
    -2.6%
    November
    5.5%
    10.3%
    December
    3.6%
    3.7%
  • 26.0%
    24.7%
    January
    1.4%
    -1.0%
    February
    3.7%
    2.7%
    March
    4.9%
    4.3%
    April
    2.7%
    5.2%
    May
    -2.9%
    0.6%
    June
    2.5%
    2.2%
    July
    -0.9%
    2.3%
    August
    2.1%
    2.9%
    September
    1.6%
    -4.8%
    October
    3.7%
    6.8%
    November
    0.5%
    -0.8%
    December
    4.5%
    4.4%
  • 0.8%
    -18.7%
    January
    -4.8%
    -5.3%
    February
    4.1%
    -3.0%
    March
    5.8%
    3.8%
    April
    -11.0%
    -9.0%
    May
    3.5%
    0.4%
    June
    -8.4%
    -8.4%
    July
    5.5%
    8.9%
    August
    -2.2%
    -4.2%
    September
    0.9%
    -9.6%
    October
    7.3%
    8.0%
    November
    4.4%
    5.5%
    December
    -2.3%
    -5.9%
  • 23.5%
    22.6%
    January
    1.7%
    6.1%
    February
    3.7%
    -2.6%
    March
    2.1%
    3.6%
    April
    1.0%
    1.5%
    May
    2.4%
    0.3%
    June
    2.5%
    6.3%
    July
    1.9%
    3.1%
    August
    1.8%
    -1.7%
    September
    -2.2%
    -4.9%
    October
    1.8%
    -2.1%
    November
    2.7%
    8.6%
    December
    2.1%
    4.4%
  • 5.9%
    21.8%
    January
    1.6%
    1.6%
    February
    2.9%
    5.1%
    March
    0.8%
    3.1%
    April
    1.6%
    -4.2%
    May
    3.4%
    4.7%
    June
    2.0%
    3.4%
    July
    -4.4%
    1.2%
    August
    -1.2%
    2.4%
    September
    0.2%
    2.1%
    October
    0.3%
    -0.9%
    November
    2.2%
    5.6%
    December
    -3.3%
    -2.5%
  • 11.3%
    17.2%
    January
    -1.0%
    2.7%
    February
    1.2%
    -1.4%
    March
    -1.7%
    -5.8%
    April
    -5.2%
    0.2%
    May
    4.8%
    6.1%
    June
    3.4%
    4.9%
    July
    1.9%
    2.2%
    August
    -0.3%
    2.0%
    September
    2.0%
    3.5%
    October
    2.7%
    2.3%
    November
    2.8%
    0.2%
    December
    0.6%
    0.3%
Monthly Returns
December 2025
S
M
T
W
T
F
Total

ISM Mfg

  1. $1,237.00

  1. $4,765.50

ADP+1

  1. $3,181.00

  1. $3,281.00

PCE

  1. $2,926.00

  1. $15,390.50

FOMC

NFP

CPI

Quad

GDP+1

Earlyclose

Closed

Minutes

Closed

Performance by Position
Performance Per Contract Trades Wins Losses Win % Premium Collected Premium Retained
Avg Entry
Avg Exit
Avg Profit
 Profit Factor
Total Profit
5.5D put 74% PT 2627 2578 49 98.1% $1,788,676 $600,950 (34%) $1.423 $0.942 $0.480 1.73 $1,261.22
6.5D put 72% PT 2734 2663 71 97.4% $2,604,508 $769,560 (30%) $1.678 $1.167 $0.511 1.62 $1,398.17
7.5D put 69% PT 2890 2803 87 97.0% $2,666,166 $710,581 (27%) $1.933 $1.415 $0.517 1.56 $1,495.29
Backtest Total 8251 8044 207 97.5% $7,059,350 $2,081,091 (29%) $1.686 $1.182 $0.504 1.63 $4,154.68
Trade Log
Updating…
1-20 of 8,251 trades
Position Timing Result
5.5D put 74% PT
-3 Fri Sep 2nd 2130p
Thu Sep 1st 2016
9:34:10 AM EDT | $0.64 credit
Fri Sep 2nd 2016
9:31:50 AM EDT | $0.17 debit
Profit Target
$135 | 70.31%
$500,135 balance
6.5D put 72% PT
-4 Fri Sep 2nd 2135p
Thu Sep 1st 2016
9:34:10 AM EDT | $0.84 credit
Fri Sep 2nd 2016
9:31:50 AM EDT | $0.24 debit
Profit Target
$236 | 70.24%
$500,371 balance
7.5D put 69% PT
-3 Fri Sep 2nd 2135p
Thu Sep 1st 2016
9:34:10 AM EDT | $0.84 credit
Fri Sep 2nd 2016
9:31:50 AM EDT | $0.26 debit
Profit Target
$171 | 67.86%
$500,542 balance
5.5D put 74% PT
-3 Tue Sep 6th 2145p
Fri Sep 2nd 2016
9:34:10 AM EDT | $0.49 credit
Tue Sep 6th 2016
9:31:50 AM EDT | $0.13 debit
Profit Target
$105 | 71.43%
$500,647 balance
6.5D put 72% PT
-3 Tue Sep 6th 2150p
Fri Sep 2nd 2016
9:34:10 AM EDT | $0.64 credit
Tue Sep 6th 2016
9:31:50 AM EDT | $0.18 debit
Profit Target
$132 | 68.75%
$500,779 balance
7.5D put 69% PT
-3 Tue Sep 6th 2150p
Fri Sep 2nd 2016
9:34:10 AM EDT | $0.64 credit
Tue Sep 6th 2016
9:31:50 AM EDT | $0.20 debit
Profit Target
$126 | 65.62%
$500,905 balance
5.5D put 74% PT
-3 Wed Sep 7th 2145p
Tue Sep 6th 2016
9:34:10 AM EDT | $0.47 credit
Wed Sep 7th 2016
9:31:50 AM EDT | $0.12 debit
Profit Target
$102 | 72.34%
$501,007 balance
6.5D put 72% PT
-3 Wed Sep 7th 2150p
Tue Sep 6th 2016
9:34:10 AM EDT | $0.60 credit
Wed Sep 7th 2016
9:31:50 AM EDT | $0.17 debit
Profit Target
$123 | 68.33%
$501,130 balance
7.5D put 69% PT
-3 Wed Sep 7th 2155p
Tue Sep 6th 2016
9:34:10 AM EDT | $0.75 credit
Wed Sep 7th 2016
9:31:50 AM EDT | $0.23 debit
Profit Target
$150 | 66.67%
$501,280 balance
7.5D put 69% PT
-3 Fri Sep 9th 2145p
Wed Sep 7th 2016
9:34:10 AM EDT | $0.82 credit
Thu Sep 8th 2016
2:44:00 PM EDT | $0.25 debit
Profit Target
$165 | 67.07%
$501,445 balance
5.5D put 74% PT
-3 Fri Sep 9th 2140p
Wed Sep 7th 2016
9:34:10 AM EDT | $0.64 credit
Fri Sep 9th 2016
4:00:00 PM EDT | $11.99 debit
Assigned
-$3,408 | -1775.00%
$498,037 balance
6.5D put 72% PT
-4 Fri Sep 9th 2145p
Wed Sep 7th 2016
9:34:10 AM EDT | $0.82 credit
Fri Sep 9th 2016
4:00:00 PM EDT | $16.99 debit
Assigned
-$6,472 | -1973.17%
$491,565 balance
7.5D put 69% PT
-3 Fri Sep 9th 2160p
Thu Sep 8th 2016
2:45:10 PM EDT | $0.57 credit
Fri Sep 9th 2016
4:00:00 PM EDT | $31.99 debit
Assigned
-$9,429 | -5514.04%
$482,136 balance
5.5D put 74% PT
-3 Mon Sep 12th 2065p
Fri Sep 9th 2016
3:50:10 PM EDT | $1.01 credit
Mon Sep 12th 2016
9:54:20 AM EDT | $0.26 debit
Profit Target
$219 | 72.28%
$482,355 balance
6.5D put 72% PT
-4 Mon Sep 12th 2070p
Fri Sep 9th 2016
3:50:10 PM EDT | $1.16 credit
Mon Sep 12th 2016
9:54:30 AM EDT | $0.32 debit
Profit Target
$328 | 70.69%
$482,683 balance
7.5D put 69% PT
-3 Mon Sep 12th 2075p
Fri Sep 9th 2016
3:50:10 PM EDT | $1.32 credit
Mon Sep 12th 2016
9:54:50 AM EDT | $0.41 debit
Profit Target
$267 | 67.42%
$482,950 balance
7.5D put 69% PT
-3 Wed Sep 14th 2055p
Mon Sep 12th 2016
9:56:00 AM EDT | $1.67 credit
Mon Sep 12th 2016
12:55:40 PM EDT | $0.52 debit
Profit Target
$339 | 67.66%
$483,289 balance
6.5D put 72% PT
-4 Wed Sep 14th 2045p
Mon Sep 12th 2016
9:55:40 AM EDT | $1.46 credit
Mon Sep 12th 2016
1:16:30 PM EDT | $0.41 debit
Profit Target
$412 | 70.55%
$483,701 balance
5.5D put 74% PT
-3 Wed Sep 14th 2040p
Mon Sep 12th 2016
9:55:30 AM EDT | $1.38 credit
Mon Sep 12th 2016
2:00:40 PM EDT | $0.36 debit
Profit Target
$300 | 72.46%
$484,001 balance
7.5D put 69% PT
-3 Wed Sep 14th 2095p
Mon Sep 12th 2016
12:56:50 PM EDT | $1.26 credit
Wed Sep 14th 2016
9:35:30 AM EDT | $0.39 debit
Profit Target
$255 | 67.46%
$484,256 balance
Methodology
Total Return (Ending Balance - Starting Balance) / Starting Balance. The SPX row of the Benchmark Comparison holds SPX itself from the backtest's first day to its last.
CAGR Total Return restated as a yearly rate: the return that, compounded once a year, grows the starting balance to the ending balance over the backtest's dates.
Drawdown The largest percentage drop in the account balance from a peak to a later low, measured on daily balances.
MAR CAGR / Drawdown
Sharpe The average daily return above the risk-free rate, divided by the standard deviation of daily returns, annualized. The risk-free rate is the one-year Treasury rate, averaged between the backtest's first and last days.
Sortino Sharpe with only the downside counted: the same excess return, divided by the standard deviation of the days that returned less than the risk-free rate.
Sharpe Pill The Sharpe beside the Sortino at the top of the page is green at 1 or above and red under 0.3. It takes no color below 20 trades, too few to judge, or when the run has no Sharpe.
Ulcer Index The square root of the average squared daily drawdown, each day's drawdown being the percentage the balance sits below its highest point so far, or zero at a new high. It grows with both how deep and how long drawdowns run, so lower is better.
Profit Factor (total profit from winning trades) / (total loss from losing trades)
Annualized Vol. The standard deviation of daily returns, annualized: how widely the balance swings from one day to the next.
Correlation Daily percentage returns for the backtest compared to daily percentage returns for SPX, indicating how closely the two move together, with possible values between -1 and 1.
Beta Correlation × (backtest daily volatility / SPX daily volatility): roughly how far the balance moves, in percent, for each 1% move in SPX.