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Backtest - WO Classic 7.5Δ Puts
- End Balance
-
$1,943,94423.6% CAGR
- Drawdown
-
-$399,882-20.0%
- Sortino
-
0.761.21 Sharpe
Stack Positions
* The percent return on this chart represents the sum of all individual day percent gains. It does not include compounding or represent total return.
Start Date
September 1, 2016
End Date
January 27, 2023
Start Balance
$500,000
End Balance
$1,943,944
Broker Fees
$48,609
Return %
288.8%
Return $
$1,443,944
CAGR
23.6%
Drawdown %
-20.0%
Drawdown $
-$399,882
Drawdown Days
282 days
Sortino
0.76
Sharpe
1.21
MAR
1.18
Annual Vol.
16.4%
Trades
1847
Winners
1793 (97.1%)
Losers
54
Avg Gain
$782
Avg Winner
$2,029
Avg Loser
-$40,625
Premium Collected $
$5,086,580
Premium Retained $
$1,492,553
Premium Retained %
29.3%
Start Date
September 1, 2016
End Date
January 27, 2023
Start Balance
$500,000
End Balance
$1,943,944
Broker Fees
$48,609
Return %
288.8%
Return $
$1,443,944
CAGR
23.6%
Drawdown %
-20.0%
Drawdown $
-$399,882
Drawdown Days
282 days
Sortino
0.76
Sharpe
1.21
MAR
1.18
Annual Vol.
16.4%
Trades
1847
Winners
1793 (97.1%)
Losers
54
Avg Gain
$782
Avg Winner
$2,029
Avg Loser
-$40,625
Premium Collected $
$5,086,580
Premium Retained $
$1,492,553
Premium Retained %
29.3%
-
Year
Backtest $ Backtest
Backtest %
SPX
-
2016$14,6522.9%(-5.7%)3.3%(-4.6%)September-$15,163-3.0%(-5.7%)-0.1%(-2.8%)October$9,0451.9%(-0.7%)-1.9%(-1.7%)November$13,4802.7%(-0.1%)3.4%(-1.2%)December$7,2901.4%(-0.6%)1.8%(-1.4%)
-
2017$97,24818.9%(-1.2%)18.0%(-2.8%)January$7,8751.5%(-0.1%)1.8%(-0.8%)February$6,9571.3%(0.0%)3.7%(-0.2%)March$10,7462.0%(-0.6%)0.0%(-2.3%)April$8,6131.6%(-0.4%)0.9%(-1.3%)May$4,6930.9%(-1.2%)1.2%(-1.9%)June$7,9831.4%(-0.5%)0.5%(-1.4%)July$7,8391.4%(-0.2%)1.9%(-0.9%)August$7,5131.3%(-1.1%)0.1%(-2.2%)September$8,2201.4%(-0.1%)1.9%(-0.8%)October$8,3341.4%(-0.1%)2.2%(-0.7%)November$10,2941.7%(-0.1%)2.8%(-1.1%)December$8,1811.4%(-0.3%)1.1%(-0.6%)
-
2018$65,40310.7%(-12.4%)-5.1%(-19.8%)January$11,1961.8%(-0.9%)5.5%(-1.8%)February$1030.0%(-11.7%)-3.7%(-8.5%)March$21,8713.5%(-2.8%)-2.5%(-7.1%)April$24,3703.8%(-1.4%)0.4%(-2.7%)May$17,4602.6%(-0.3%)2.2%(-1.6%)June$16,4452.4%(-0.6%)0.5%(-3.1%)July$16,9832.4%(-0.2%)3.6%(-1.5%)August$16,1582.2%(-0.2%)3.0%(-1.4%)September$13,2701.8%(-0.2%)0.5%(-0.9%)October-$40,201-5.4%(-10.3%)-7.0%(-9.7%)November$28,1464.0%(-2.1%)1.9%(-6.4%)December-$60,398-8.2%(-11.2%)-9.3%(-15.7%)
-
2019$188,46127.8%(-7.0%)26.2%(-6.8%)January$37,7465.6%(-0.6%)7.7%(-2.5%)February$19,1182.7%(-0.2%)3.0%(-1.1%)March$15,7522.1%(-0.6%)1.8%(-2.2%)April$17,6992.4%(-0.1%)3.9%(-0.6%)May$25,6593.3%(-0.9%)-6.7%(-6.6%)June$26,9993.4%(-0.2%)6.7%(-1.4%)July$18,5922.3%(-0.3%)1.4%(-1.5%)August-$17,518-2.1%(-7.0%)-1.6%(-3.8%)September$26,9273.3%(-0.9%)1.8%(-1.6%)October-$16,096-1.9%(-5.8%)2.1%(-2.0%)November$16,3352.0%(-0.0%)3.4%(-0.6%)December$17,2482.0%(-0.4%)2.8%(-0.7%)
-
2020$567,39465.5%(-17.1%)21.0%(-33.9%)January-$22,358-2.6%(-5.0%)-0.1%(-3.1%)February-$56,316-6.7%(-10.5%)-8.5%(-12.8%)March$172,85922.0%(-10.6%)-9.7%(-28.5%)April$115,83212.1%(-1.7%)12.6%(-4.8%)May$29,4652.7%(-4.0%)4.7%(-3.8%)June$29,2922.7%(-9.9%)2.2%(-7.1%)July$61,3205.4%(-1.0%)5.5%(-1.9%)August$46,6123.9%(-0.8%)6.8%(-0.8%)September$44,1393.6%(-1.8%)-3.8%(-9.6%)October$12,2671.0%(-4.4%)-2.6%(-7.5%)November$79,0106.1%(-0.8%)10.3%(-1.9%)December$55,2724.0%(-0.4%)3.7%(-1.5%)
-
2021$407,05328.4%(-6.2%)24.7%(-5.2%)January$13,5070.9%(-3.3%)-1.0%(-3.7%)February$59,4564.1%(-1.6%)2.7%(-3.2%)March$80,6185.4%(-0.8%)4.3%(-3.4%)April$48,8643.1%(-0.6%)5.1%(-1.2%)May-$47,763-2.9%(-6.2%)0.6%(-4.0%)June$45,2052.8%(-0.1%)2.2%(-2.1%)July-$20,379-1.2%(-3.8%)2.3%(-2.9%)August$43,3052.7%(-0.9%)2.9%(-1.8%)September$32,2831.9%(-1.3%)-4.8%(-5.1%)October$62,5173.7%(-0.3%)6.8%(-1.3%)November$10,9120.6%(-1.6%)-0.8%(-2.9%)December$78,5284.5%(-2.1%)4.4%(-3.0%)
-
2022$77,9844.2%(-20.0%)-18.7%(-25.4%)January-$89,782-4.9%(-8.1%)-5.3%(-9.8%)February$73,2744.2%(-1.5%)-3.0%(-7.9%)March$147,8658.1%(-0.7%)3.8%(-4.9%)April-$193,453-9.8%(-12.9%)-9.0%(-9.8%)May$26,8161.5%(-5.2%)0.4%(-9.3%)June-$167,423-9.3%(-12.7%)-8.4%(-12.2%)July$115,7947.1%(-0.8%)8.9%(-2.9%)August-$28,512-1.6%(-5.2%)-4.2%(-8.1%)September$36,3842.1%(-4.1%)-9.5%(-12.7%)October$116,9266.6%(-1.3%)8.0%(-5.7%)November$80,3434.3%(-1.0%)5.5%(-3.5%)December-$40,248-2.1%(-4.6%)-5.9%(-7.2%)
-
2023$25,7491.3%(-3.0%)5.9%(-2.5%)January$25,7491.3%(-3.0%)5.9%(-2.5%)
|
Position
|
Fills | Entry | Exit |
|---|---|---|---|
|
7.5D put 69% PT
SPXW Short Put
80.0% 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
|
$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 EDT
1 DTE (1 min - 4 max)
-0.075 PUT Δ
Double 0 DTE at 3:50 PM EDT
|
69% profit target
|
| Position | Position | Legs | Timing | Entry | Exit | Result |
|---|---|---|---|---|---|---|
|
7.5D put 69% PT
|
7.5D put 69% PT
-9 Fri Sep 2nd 2135p
|
-9 Fri Sep 2nd 2135p
$384,300 max risk
|
Thu Sep 1st 2016
9:34 AM EDT | $0.84 credit
Fri Sep 2nd 2016
9:30 AM EDT | $0.08 debit
|
Thu Sep 1st 2016
9:34 AM EDT | $0.84 credit
SPX 2172.09
|
Fri Sep 2nd 2016
9:30 AM EDT | $0.08 debit
SPX 2178.87
|
Profit Target
$666 | 0.17%
$500,666 balance
|
|
7.5D put 69% PT
|
7.5D put 69% PT
-9 Tue Sep 6th 2150p
|
-9 Tue Sep 6th 2150p
$387,000 max risk
|
Fri Sep 2nd 2016
9:34 AM EDT | $0.63 credit
Tue Sep 6th 2016
9:30 AM EDT | $0.13 debit
|
Fri Sep 2nd 2016
9:34 AM EDT | $0.63 credit
SPX 2180.40
|
Tue Sep 6th 2016
9:30 AM EDT | $0.13 debit
SPX 2182.56
|
Profit Target
$432 | 0.11%
$501,098 balance
|
|
7.5D put 69% PT
|
7.5D put 69% PT
-9 Wed Sep 7th 2155p
|
-9 Wed Sep 7th 2155p
$387,900 max risk
|
Tue Sep 6th 2016
9:34 AM EDT | $0.72 credit
Wed Sep 7th 2016
9:30 AM EDT | $0.13 debit
|
Tue Sep 6th 2016
9:34 AM EDT | $0.72 credit
SPX 2182.38
|
Wed Sep 7th 2016
9:30 AM EDT | $0.13 debit
SPX 2184.47
|
Profit Target
$513 | 0.13%
$501,611 balance
|
|
7.5D put 69% PT
|
7.5D put 69% PT
-9 Fri Sep 9th 2145p
|
-9 Fri Sep 9th 2145p
$386,100 max risk
|
Wed Sep 7th 2016
9:34 AM EDT | $0.80 credit
Thu Sep 8th 2016
2:52 PM EDT | $0.23 debit
|
Wed Sep 7th 2016
9:34 AM EDT | $0.80 credit
SPX 2183.98
|
Thu Sep 8th 2016
2:52 PM EDT | $0.23 debit
SPX 2181.87
|
Profit Target
$495 | 0.13%
$502,106 balance
|
|
7.5D put 69% PT
|
7.5D put 69% PT
-9 Fri Sep 9th 2160p
|
-9 Fri Sep 9th 2160p
$388,800 max risk
|
Thu Sep 8th 2016
2:53 PM EDT | $0.53 credit
Fri Sep 9th 2016
4:00 PM EDT | $31.99 debit
|
Thu Sep 8th 2016
2:53 PM EDT | $0.53 credit
SPX 2181.88
|
Fri Sep 9th 2016
4:00 PM EDT | $31.99 debit
SPX 2128.01
|
Assigned
-$28,323 | -7.28%
$473,783 balance
|
|
7.5D put 69% PT
|
7.5D put 69% PT
-10 Mon Sep 12th 2075p
|
-10 Mon Sep 12th 2075p
$415,000 max risk
|
Fri Sep 9th 2016
3:50 PM EDT | $1.35 credit
Mon Sep 12th 2016
9:54 AM EDT | $0.41 debit
|
Fri Sep 9th 2016
3:50 PM EDT | $1.35 credit
SPX 2133.32
|
Mon Sep 12th 2016
9:54 AM EDT | $0.41 debit
SPX 2126.26
|
Profit Target
$920 | 0.22%
$474,703 balance
|
|
7.5D put 69% PT
|
7.5D put 69% PT
-9 Wed Sep 14th 2055p
|
-9 Wed Sep 14th 2055p
$369,900 max risk
|
Mon Sep 12th 2016
9:55 AM EDT | $1.77 credit
Mon Sep 12th 2016
12:53 PM EDT | $0.54 debit
|
Mon Sep 12th 2016
9:55 AM EDT | $1.77 credit
SPX 2127.54
|
Mon Sep 12th 2016
12:53 PM EDT | $0.54 debit
SPX 2144.88
|
Profit Target
$1,089 | 0.29%
$475,792 balance
|
|
7.5D put 69% PT
|
7.5D put 69% PT
-9 Wed Sep 14th 2095p
|
-9 Wed Sep 14th 2095p
$377,100 max risk
|
Mon Sep 12th 2016
12:54 PM EDT | $1.27 credit
Wed Sep 14th 2016
9:35 AM EDT | $0.34 debit
|
Mon Sep 12th 2016
12:54 PM EDT | $1.27 credit
SPX 2145.18
|
Wed Sep 14th 2016
9:35 AM EDT | $0.34 debit
SPX 2131.44
|
Profit Target
$819 | 0.22%
$476,611 balance
|
|
7.5D put 69% PT
|
7.5D put 69% PT
-9 Mon Sep 19th 2065p
|
-9 Mon Sep 19th 2065p
$371,700 max risk
|
Thu Sep 15th 2016
9:34 AM EDT | $1.48 credit
Thu Sep 15th 2016
1:42 PM EDT | $0.45 debit
|
Thu Sep 15th 2016
9:34 AM EDT | $1.48 credit
SPX 2126.90
|
Thu Sep 15th 2016
1:42 PM EDT | $0.45 debit
SPX 2144.61
|
Profit Target
$909 | 0.24%
$477,520 balance
|
|
7.5D put 69% PT
|
7.5D put 69% PT
-9 Mon Sep 19th 2095p
|
-9 Mon Sep 19th 2095p
$377,100 max risk
|
Thu Sep 15th 2016
1:43 PM EDT | $1.12 credit
Fri Sep 16th 2016
3:30 PM EDT | $0.35 debit
|
Thu Sep 15th 2016
1:43 PM EDT | $1.12 credit
SPX 2145.60
|
Fri Sep 16th 2016
3:30 PM EDT | $0.35 debit
SPX 2138.24
|
Profit Target
$675 | 0.18%
$478,195 balance
|
|
7.5D put 69% PT
|
7.5D put 69% PT
-9 Mon Sep 19th 2110p
|
-9 Mon Sep 19th 2110p
$379,800 max risk
|
Fri Sep 16th 2016
3:31 PM EDT | $0.83 credit
Mon Sep 19th 2016
9:30 AM EDT | $0.10 debit
|
Fri Sep 16th 2016
3:31 PM EDT | $0.83 credit
SPX 2139.18
|
Mon Sep 19th 2016
9:30 AM EDT | $0.10 debit
SPX 2145.31
|
Profit Target
$639 | 0.17%
$478,834 balance
|
|
7.5D put 69% PT
|
7.5D put 69% PT
-9 Wed Sep 21st 2095p
|
-9 Wed Sep 21st 2095p
$377,100 max risk
|
Mon Sep 19th 2016
9:34 AM EDT | $1.24 credit
Wed Sep 21st 2016
9:52 AM EDT | $0.39 debit
|
Mon Sep 19th 2016
9:34 AM EDT | $1.24 credit
SPX 2147.16
|
Wed Sep 21st 2016
9:52 AM EDT | $0.39 debit
SPX 2149.66
|
Profit Target
$747 | 0.20%
$479,581 balance
|
|
7.5D put 69% PT
|
7.5D put 69% PT
-9 Fri Sep 23rd 2085p
|
-9 Fri Sep 23rd 2085p
$375,300 max risk
|
Wed Sep 21st 2016
9:53 AM EDT | $1.45 credit
Wed Sep 21st 2016
3:03 PM EDT | $0.45 debit
|
Wed Sep 21st 2016
9:53 AM EDT | $1.45 credit
SPX 2150.03
|
Wed Sep 21st 2016
3:03 PM EDT | $0.45 debit
SPX 2153.83
|
Profit Target
$882 | 0.24%
$480,463 balance
|
|
7.5D put 69% PT
|
7.5D put 69% PT
-9 Fri Sep 23rd 2110p
|
-9 Fri Sep 23rd 2110p
$379,800 max risk
|
Wed Sep 21st 2016
3:04 PM EDT | $1.21 credit
Thu Sep 22nd 2016
9:30 AM EDT | $0.21 debit
|
Wed Sep 21st 2016
3:04 PM EDT | $1.21 credit
SPX 2154.46
|
Thu Sep 22nd 2016
9:30 AM EDT | $0.21 debit
SPX 2172.23
|
Profit Target
$882 | 0.23%
$481,345 balance
|
|
7.5D put 69% PT
|
7.5D put 69% PT
-9 Fri Sep 23rd 2150p
|
-9 Fri Sep 23rd 2150p
$387,000 max risk
|
Thu Sep 22nd 2016
9:34 AM EDT | $0.77 credit
Fri Sep 23rd 2016
9:30 AM EDT | $0.23 debit
|
Thu Sep 22nd 2016
9:34 AM EDT | $0.77 credit
SPX 2177.23
|
Fri Sep 23rd 2016
9:30 AM EDT | $0.23 debit
SPX 2172.75
|
Profit Target
$468 | 0.12%
$481,813 balance
|
|
7.5D put 69% PT
|
7.5D put 69% PT
-9 Mon Sep 26th 2140p
|
-9 Mon Sep 26th 2140p
$385,200 max risk
|
Fri Sep 23rd 2016
9:34 AM EDT | $0.65 credit
Mon Sep 26th 2016
3:28 PM EDT | $0.19 debit
|
Fri Sep 23rd 2016
9:34 AM EDT | $0.65 credit
SPX 2172.06
|
Mon Sep 26th 2016
3:28 PM EDT | $0.19 debit
SPX 2149.00
|
Profit Target
$396 | 0.10%
$482,209 balance
|
|
7.5D put 69% PT
|
7.5D put 69% PT
-9 Wed Sep 28th 2095p
|
-9 Wed Sep 28th 2095p
$377,100 max risk
|
Mon Sep 26th 2016
3:29 PM EDT | $1.32 credit
Tue Sep 27th 2016
9:53 AM EDT | $0.39 debit
|
Mon Sep 26th 2016
3:29 PM EDT | $1.32 credit
SPX 2148.91
|
Tue Sep 27th 2016
9:53 AM EDT | $0.39 debit
SPX 2149.29
|
Profit Target
$819 | 0.22%
$483,028 balance
|
|
7.5D put 69% PT
|
7.5D put 69% PT
-9 Wed Sep 28th 2110p
|
-9 Wed Sep 28th 2110p
$379,800 max risk
|
Tue Sep 27th 2016
9:54 AM EDT | $0.80 credit
Tue Sep 27th 2016
12:24 PM EDT | $0.22 debit
|
Tue Sep 27th 2016
9:54 AM EDT | $0.80 credit
SPX 2149.56
|
Tue Sep 27th 2016
12:24 PM EDT | $0.22 debit
SPX 2159.33
|
Profit Target
$504 | 0.13%
$483,532 balance
|
|
7.5D put 69% PT
|
7.5D put 69% PT
-9 Wed Sep 28th 2130p
|
-9 Wed Sep 28th 2130p
$383,400 max risk
|
Tue Sep 27th 2016
12:25 PM EDT | $0.62 credit
Wed Sep 28th 2016
9:30 AM EDT | $0.15 debit
|
Tue Sep 27th 2016
12:25 PM EDT | $0.62 credit
SPX 2159.67
|
Wed Sep 28th 2016
9:30 AM EDT | $0.15 debit
SPX 2162.42
|
Profit Target
$405 | 0.11%
$483,937 balance
|
|
7.5D put 69% PT
|
7.5D put 69% PT
-9 Fri Sep 30th 2120p
|
-9 Fri Sep 30th 2120p
$381,600 max risk
|
Wed Sep 28th 2016
9:34 AM EDT | $0.86 credit
Thu Sep 29th 2016
10:02 AM EDT | $0.26 debit
|
Wed Sep 28th 2016
9:34 AM EDT | $0.86 credit
SPX 2163.36
|
Thu Sep 29th 2016
10:02 AM EDT | $0.26 debit
SPX 2172.01
|
Profit Target
$522 | 0.14%
$484,459 balance
|