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Backtest - WO Classic 6.5Δ Puts
- End Balance
-
$1,921,80823.4% CAGR
- Drawdown
-
-$379,508-19.6%
- Sortino
-
0.841.34 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
$1,921,808
Broker Fees
$46,520
Return %
284.4%
Return $
$1,421,808
CAGR
23.4%
Drawdown %
-19.6%
Drawdown $
-$379,508
Drawdown Days
267 days
Sortino
0.84
Sharpe
1.34
MAR
1.20
Annual Vol.
14.5%
Trades
1751
Winners
1709 (97.6%)
Losers
42
Avg Gain
$812
Avg Winner
$1,849
Avg Loser
-$41,393
Premium Collected $
$4,236,608
Premium Retained $
$1,468,328
Premium Retained %
34.7%
Start Date
September 1, 2016
End Date
January 27, 2023
Start Balance
$500,000
End Balance
$1,921,808
Broker Fees
$46,520
Return %
284.4%
Return $
$1,421,808
CAGR
23.4%
Drawdown %
-19.6%
Drawdown $
-$379,508
Drawdown Days
267 days
Sortino
0.84
Sharpe
1.34
MAR
1.20
Annual Vol.
14.5%
Trades
1751
Winners
1709 (97.6%)
Losers
42
Avg Gain
$812
Avg Winner
$1,849
Avg Loser
-$41,393
Premium Collected $
$4,236,608
Premium Retained $
$1,468,328
Premium Retained %
34.7%
-
Year
Backtest $ Backtest
Backtest %
SPX
-
2016$24,7204.9%(-3.1%)3.3%(-4.6%)September-$3,153-0.6%(-3.1%)-0.1%(-2.8%)October$8,6681.7%(-0.7%)-1.9%(-1.7%)November$11,8002.3%(-0.1%)3.4%(-1.2%)December$7,4051.4%(-0.4%)1.8%(-1.4%)
-
2017$97,34818.6%(-0.9%)18.0%(-2.8%)January$7,2181.4%(-0.1%)1.8%(-0.8%)February$6,1421.2%(0.0%)3.7%(-0.2%)March$9,6001.8%(-0.6%)0.0%(-2.3%)April$7,6031.4%(-0.3%)0.9%(-1.3%)May$8,1091.5%(-0.4%)1.2%(-1.9%)June$7,5911.3%(-0.3%)0.5%(-1.4%)July$7,4791.3%(-0.2%)1.9%(-0.9%)August$10,3081.8%(-0.9%)0.1%(-2.2%)September$8,2801.4%(-0.1%)1.9%(-0.8%)October$8,4301.4%(-0.1%)2.2%(-0.7%)November$9,5491.6%(-0.1%)2.8%(-1.1%)December$7,0391.1%(-0.1%)1.1%(-0.6%)
-
2018$71,22411.4%(-9.7%)-5.1%(-19.8%)January$10,4221.7%(-0.8%)5.5%(-1.8%)February-$3,585-0.6%(-8.8%)-3.7%(-8.5%)March$22,1773.5%(-2.3%)-2.5%(-7.1%)April$24,1203.7%(-1.2%)0.4%(-2.7%)May$14,3552.1%(-0.3%)2.2%(-1.6%)June$14,5882.1%(-0.7%)0.5%(-3.1%)July$15,1562.2%(-0.2%)3.6%(-1.5%)August$14,0922.0%(-0.1%)3.0%(-1.4%)September$10,9201.5%(-0.2%)0.5%(-0.9%)October-$36,247-4.9%(-9.7%)-7.0%(-9.7%)November$27,0603.8%(-1.8%)1.9%(-6.4%)December-$41,834-5.7%(-8.2%)-9.3%(-15.7%)
-
2019$212,45130.6%(-4.8%)26.2%(-6.8%)January$31,7934.6%(-0.3%)7.7%(-2.5%)February$16,2802.2%(-0.1%)3.0%(-1.1%)March$13,0351.8%(-0.6%)1.8%(-2.2%)April$14,8062.0%(-0.1%)3.9%(-0.6%)May$24,2503.2%(-0.9%)-6.7%(-6.6%)June$22,2612.8%(-0.1%)6.7%(-1.4%)July$16,1262.0%(-0.3%)1.4%(-1.5%)August$29,7693.6%(-3.0%)-1.6%(-3.8%)September$24,2642.8%(-1.0%)1.8%(-1.6%)October-$11,633-1.3%(-4.8%)2.1%(-2.0%)November$15,2631.7%(-0.0%)3.4%(-0.6%)December$16,2371.8%(-0.3%)2.8%(-0.7%)
-
2020$535,06359.1%(-10.6%)21.0%(-33.9%)January-$19,210-2.1%(-4.2%)-0.1%(-3.1%)February-$21,477-2.4%(-7.2%)-8.5%(-12.8%)March$190,79722.1%(-9.5%)-9.7%(-28.5%)April$110,83810.5%(-1.6%)12.6%(-4.8%)May-$4,395-0.4%(-6.1%)4.7%(-3.8%)June$35,8993.1%(-8.4%)2.2%(-7.1%)July$57,2124.8%(-0.8%)5.5%(-1.9%)August$41,5453.3%(-0.6%)6.8%(-0.8%)September$53,3424.1%(-1.6%)-3.8%(-9.6%)October-$24,699-1.8%(-5.7%)-2.6%(-7.5%)November$67,6505.1%(-0.7%)10.3%(-1.9%)December$47,5613.4%(-0.3%)3.7%(-1.5%)
-
2021$368,61725.6%(-5.3%)24.7%(-5.2%)January$26,9671.9%(-1.8%)-1.0%(-3.7%)February$50,6213.4%(-1.6%)2.7%(-3.2%)March$71,5484.7%(-0.7%)4.3%(-3.4%)April$40,6242.6%(-0.6%)5.1%(-1.2%)May-$39,907-2.4%(-5.3%)0.6%(-4.0%)June$37,7202.4%(-0.1%)2.2%(-2.1%)July-$20,784-1.3%(-3.4%)2.3%(-2.9%)August$35,6852.2%(-0.8%)2.9%(-1.8%)September$38,2782.3%(-1.1%)-4.8%(-5.1%)October$51,7403.1%(-0.2%)6.8%(-1.3%)November$12,3000.7%(-1.2%)-0.8%(-2.9%)December$63,8253.7%(-1.9%)4.4%(-3.0%)
-
2022$89,7085.0%(-19.6%)-18.7%(-25.4%)January-$80,682-4.5%(-7.0%)-5.3%(-9.8%)February$71,8054.2%(-1.4%)-3.0%(-7.9%)March$121,1486.7%(-0.6%)3.8%(-4.9%)April-$196,265-10.2%(-12.5%)-9.0%(-9.8%)May$24,9131.4%(-5.0%)0.4%(-9.3%)June-$151,428-8.7%(-11.9%)-8.4%(-12.2%)July$93,7515.9%(-0.6%)8.9%(-2.9%)August-$4,681-0.3%(-3.6%)-4.2%(-8.1%)September$32,0171.9%(-3.5%)-9.5%(-12.7%)October$101,6075.9%(-0.7%)8.0%(-5.7%)November$86,0774.7%(-0.2%)5.5%(-3.5%)December-$8,554-0.4%(-3.2%)-5.9%(-7.2%)
-
2023$22,6771.2%(-2.4%)5.9%(-2.5%)January$22,6771.2%(-2.4%)5.9%(-2.5%)
|
Position
|
Fills | Entry | Exit |
|---|---|---|---|
|
6.5D put 72% 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)
-0.065 PUT Δ
Double 0 DTE at 3:50 PM EDT
|
72% profit target
|
| Position | Position | Legs | Timing | Entry | Exit | Result |
|---|---|---|---|---|---|---|
|
6.5D put 72% PT
|
6.5D put 72% 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
|
|
6.5D put 72% PT
|
6.5D put 72% 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
|
|
6.5D put 72% PT
|
6.5D put 72% PT
-9 Wed Sep 7th 2150p
|
-9 Wed Sep 7th 2150p
$387,000 max risk
|
Tue Sep 6th 2016
9:34 AM EDT | $0.59 credit
Wed Sep 7th 2016
9:30 AM EDT | $0.10 debit
|
Tue Sep 6th 2016
9:34 AM EDT | $0.59 credit
SPX 2182.38
|
Wed Sep 7th 2016
9:30 AM EDT | $0.10 debit
SPX 2184.47
|
Profit Target
$423 | 0.11%
$501,521 balance
|
|
6.5D put 72% PT
|
6.5D put 72% 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
Fri Sep 9th 2016
4:00 PM EDT | $16.99 debit
|
Wed Sep 7th 2016
9:34 AM EDT | $0.80 credit
SPX 2183.98
|
Fri Sep 9th 2016
4:00 PM EDT | $16.99 debit
SPX 2128.01
|
Assigned
-$14,580 | -3.78%
$486,941 balance
|
|
6.5D put 72% PT
|
6.5D put 72% PT
-10 Mon Sep 12th 2070p
|
-10 Mon Sep 12th 2070p
$414,000 max risk
|
Fri Sep 9th 2016
3:50 PM EDT | $1.16 credit
Mon Sep 12th 2016
9:54 AM EDT | $0.30 debit
|
Fri Sep 9th 2016
3:50 PM EDT | $1.16 credit
SPX 2133.32
|
Mon Sep 12th 2016
9:54 AM EDT | $0.30 debit
SPX 2126.26
|
Profit Target
$840 | 0.20%
$487,781 balance
|
|
6.5D put 72% PT
|
6.5D put 72% PT
-10 Wed Sep 14th 2045p
|
-10 Wed Sep 14th 2045p
$409,000 max risk
|
Mon Sep 12th 2016
9:55 AM EDT | $1.46 credit
Mon Sep 12th 2016
1:16 PM EDT | $0.39 debit
|
Mon Sep 12th 2016
9:55 AM EDT | $1.46 credit
SPX 2127.54
|
Mon Sep 12th 2016
1:16 PM EDT | $0.39 debit
SPX 2149.40
|
Profit Target
$1,050 | 0.26%
$488,831 balance
|
|
6.5D put 72% PT
|
6.5D put 72% PT
-9 Wed Sep 14th 2095p
|
-9 Wed Sep 14th 2095p
$377,100 max risk
|
Mon Sep 12th 2016
1:17 PM EDT | $1.02 credit
Wed Sep 14th 2016
9:37 AM EDT | $0.29 debit
|
Mon Sep 12th 2016
1:17 PM EDT | $1.02 credit
SPX 2149.47
|
Wed Sep 14th 2016
9:37 AM EDT | $0.29 debit
SPX 2131.53
|
Profit Target
$639 | 0.17%
$489,470 balance
|
|
6.5D put 72% PT
|
6.5D put 72% PT
-10 Mon Sep 19th 2060p
|
-10 Mon Sep 19th 2060p
$412,000 max risk
|
Thu Sep 15th 2016
9:34 AM EDT | $1.24 credit
Thu Sep 15th 2016
2:15 PM EDT | $0.35 debit
|
Thu Sep 15th 2016
9:34 AM EDT | $1.24 credit
SPX 2126.90
|
Thu Sep 15th 2016
2:15 PM EDT | $0.35 debit
SPX 2148.35
|
Profit Target
$870 | 0.21%
$490,340 balance
|
|
6.5D put 72% PT
|
6.5D put 72% PT
-9 Mon Sep 19th 2095p
|
-9 Mon Sep 19th 2095p
$377,100 max risk
|
Thu Sep 15th 2016
2:16 PM EDT | $0.97 credit
Fri Sep 16th 2016
3:33 PM EDT | $0.28 debit
|
Thu Sep 15th 2016
2:16 PM EDT | $0.97 credit
SPX 2149.20
|
Fri Sep 16th 2016
3:33 PM EDT | $0.28 debit
SPX 2140.86
|
Profit Target
$603 | 0.16%
$490,943 balance
|
|
6.5D put 72% PT
|
6.5D put 72% PT
-9 Mon Sep 19th 2110p
|
-9 Mon Sep 19th 2110p
$379,800 max risk
|
Fri Sep 16th 2016
3:34 PM EDT | $0.70 credit
Mon Sep 19th 2016
9:30 AM EDT | $0.10 debit
|
Fri Sep 16th 2016
3:34 PM EDT | $0.70 credit
SPX 2140.92
|
Mon Sep 19th 2016
9:30 AM EDT | $0.10 debit
SPX 2145.31
|
Profit Target
$522 | 0.14%
$491,465 balance
|
|
6.5D put 72% PT
|
6.5D put 72% PT
-9 Wed Sep 21st 2090p
|
-9 Wed Sep 21st 2090p
$376,200 max risk
|
Mon Sep 19th 2016
9:34 AM EDT | $0.96 credit
Wed Sep 21st 2016
9:53 AM EDT | $0.26 debit
|
Mon Sep 19th 2016
9:34 AM EDT | $0.96 credit
SPX 2147.16
|
Wed Sep 21st 2016
9:53 AM EDT | $0.26 debit
SPX 2150.03
|
Profit Target
$612 | 0.16%
$492,077 balance
|
|
6.5D put 72% PT
|
6.5D put 72% PT
-9 Fri Sep 23rd 2085p
|
-9 Fri Sep 23rd 2085p
$375,300 max risk
|
Wed Sep 21st 2016
9:54 AM EDT | $1.42 credit
Wed Sep 21st 2016
3:05 PM EDT | $0.40 debit
|
Wed Sep 21st 2016
9:54 AM EDT | $1.42 credit
SPX 2150.36
|
Wed Sep 21st 2016
3:05 PM EDT | $0.40 debit
SPX 2155.69
|
Profit Target
$900 | 0.24%
$492,977 balance
|
|
6.5D put 72% PT
|
6.5D put 72% PT
-9 Fri Sep 23rd 2105p
|
-9 Fri Sep 23rd 2105p
$378,900 max risk
|
Wed Sep 21st 2016
3:06 PM EDT | $0.82 credit
Thu Sep 22nd 2016
9:30 AM EDT | $0.15 debit
|
Wed Sep 21st 2016
3:06 PM EDT | $0.82 credit
SPX 2156.41
|
Thu Sep 22nd 2016
9:30 AM EDT | $0.15 debit
SPX 2172.23
|
Profit Target
$585 | 0.15%
$493,562 balance
|
|
6.5D put 72% PT
|
6.5D put 72% PT
-9 Fri Sep 23rd 2145p
|
-9 Fri Sep 23rd 2145p
$386,100 max risk
|
Thu Sep 22nd 2016
9:34 AM EDT | $0.57 credit
Fri Sep 23rd 2016
9:30 AM EDT | $0.15 debit
|
Thu Sep 22nd 2016
9:34 AM EDT | $0.57 credit
SPX 2177.23
|
Fri Sep 23rd 2016
9:30 AM EDT | $0.15 debit
SPX 2172.75
|
Profit Target
$360 | 0.09%
$493,922 balance
|
|
6.5D put 72% PT
|
6.5D put 72% 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%
$494,318 balance
|
|
6.5D put 72% PT
|
6.5D put 72% PT
-9 Wed Sep 28th 2090p
|
-9 Wed Sep 28th 2090p
$376,200 max risk
|
Mon Sep 26th 2016
3:29 PM EDT | $1.08 credit
Tue Sep 27th 2016
9:53 AM EDT | $0.31 debit
|
Mon Sep 26th 2016
3:29 PM EDT | $1.08 credit
SPX 2148.91
|
Tue Sep 27th 2016
9:53 AM EDT | $0.31 debit
SPX 2149.29
|
Profit Target
$675 | 0.18%
$494,993 balance
|
|
6.5D put 72% PT
|
6.5D put 72% 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%
$495,497 balance
|
|
6.5D put 72% PT
|
6.5D put 72% 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%
$495,902 balance
|
|
6.5D put 72% PT
|
6.5D put 72% 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
10:04 AM EDT | $0.25 debit
|
Wed Sep 28th 2016
9:34 AM EDT | $0.86 credit
SPX 2163.36
|
Thu Sep 29th 2016
10:04 AM EDT | $0.25 debit
SPX 2171.92
|
Profit Target
$531 | 0.14%
$496,433 balance
|
|
6.5D put 72% PT
|
6.5D put 72% PT
-9 Fri Sep 30th 2140p
|
-9 Fri Sep 30th 2140p
$385,200 max risk
|
Thu Sep 29th 2016
10:05 AM EDT | $0.67 credit
Fri Sep 30th 2016
11:11 AM EDT | $0.19 debit
|
Thu Sep 29th 2016
10:05 AM EDT | $0.67 credit
SPX 2172.13
|
Fri Sep 30th 2016
11:11 AM EDT | $0.19 debit
SPX 2169.11
|
Profit Target
$414 | 0.11%
$496,847 balance
|