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Backtest - WO Classic with 2 Positions

End Balance
$7,151,679
28.9% CAGR
Drawdown
-$878,026
-17.4%
Sortino
0.77
2.15 Sharpe
Benchmark Comparison
Total Return CAGR Drawdown MAR Sharpe Sortino Annualized Vol. Correlation Beta
Backtest 615.2% 28.9% -17.4% 1.66 2.15 0.77 10.7 0.26 0.15
SPX 141.2% 12.0% -33.9% 0.35 0.55 0.66 18.60
Return %
Drawdown
Backtest Positions
Position
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
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
2.5D call 80% PT
SPXW Short Call
80.0% portfolio
20.0% notional withheld
$1.00 fee per contract
$0.05 free to close
1 minute between trades
65% slippage at entry
65% slippage at exit
Sequential
Before 3:00 PM EDT
1 DTE (1 min - 4 max)
0.025 CALL Δ
80% profit target

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Detailed Stats
Start Date
September 1, 2016
End Date
May 30, 2024
Start Balance
$1,000,000
End Balance
$7,151,679
Broker Fees
$257,131
Return %
615.2%
Return $
$6,151,679
CAGR
28.9%
Drawdown %
-17.4%
Drawdown $
-$878,026
Drawdown Days
203 days
Sortino
0.77
Sharpe
2.15
MAR
1.66
Annual Vol.
10.7%
Correlation
0.26
Beta
0.15
Trades
3879
Winners
3806 (98.1%)
Losers
73
Avg Gain
$1,586
Avg Winner
$3,301
Avg Loser
-$87,860
Premium Collected $
$16,618,478
Premium Retained $
$6,408,810
Premium Retained %
38.6%
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.
Balance
Positions
Monthly Performance
Weekly Performance
Daily Performance
Day of Week Performance
May 2024

S
M
T
W
T
F
S
  1. $7,071.00

  1. -$46,856.00

  1. $61,176.00

  1. $6,608.00

  1. $19,678.00

  1. $47,677.00

  1. $13,338.00

  1. $5,973.00

  1. $11,634.00

  1. $9,272.00

  1. $5,037.00

  1. $45,254.00

  1. $6,348.00

  1. $13,861.00

  1. $15,162.00

  1. $6,240.00

  1. $11,044.00

  1. $52,655.00

  1. $4,136.00

  1. $8,245.00

  1. $3,597.00

  1. $10,140.00

  1. $7,582.00

  1. $33,700.00

  1. $6,881.00

  1. $6,027.00

  1. $2,057.00

  1. $14,965.00

Yearly Results
  • Year

    Backtest

    SPX

  • 2016
    4.9%
    3.3%
    September
    -0.4%
    0.0%
    October
    2.0%
    -1.9%
    November
    2.6%
    3.4%
    December
    0.7%
    1.8%
  • 2017
    19.7%
    18.0%
    January
    0.2%
    1.8%
    February
    1.3%
    3.7%
    March
    2.2%
    0.0%
    April
    1.7%
    0.9%
    May
    1.6%
    1.2%
    June
    1.7%
    0.5%
    July
    1.4%
    2.0%
    August
    2.0%
    0.1%
    September
    1.5%
    1.9%
    October
    1.5%
    2.2%
    November
    1.6%
    2.8%
    December
    1.4%
    1.0%
  • 2018
    18.9%
    -5.0%
    January
    1.9%
    5.5%
    February
    -1.2%
    -3.7%
    March
    4.9%
    -2.6%
    April
    4.2%
    0.4%
    May
    2.9%
    2.2%
    June
    2.4%
    0.5%
    July
    2.6%
    3.6%
    August
    2.3%
    3.0%
    September
    1.9%
    0.5%
    October
    -3.7%
    -7.0%
    November
    4.4%
    1.9%
    December
    -4.5%
    -9.3%
  • 2019
    37.5%
    26.2%
    January
    5.3%
    7.7%
    February
    2.5%
    3.0%
    March
    2.2%
    1.8%
    April
    2.3%
    3.9%
    May
    3.8%
    -6.7%
    June
    3.1%
    6.7%
    July
    1.8%
    1.3%
    August
    4.9%
    -1.6%
    September
    3.3%
    1.7%
    October
    -0.9%
    2.1%
    November
    1.9%
    3.4%
    December
    2.1%
    2.8%
  • 2020
    73.2%
    21.1%
    January
    -2.4%
    -0.1%
    February
    -1.2%
    -8.5%
    March
    25.3%
    -9.7%
    April
    12.2%
    12.7%
    May
    -1.7%
    4.6%
    June
    4.1%
    2.2%
    July
    5.7%
    5.4%
    August
    3.7%
    6.8%
    September
    4.6%
    -3.8%
    October
    -1.2%
    -2.6%
    November
    6.2%
    10.3%
    December
    3.9%
    3.7%
  • 2021
    33.5%
    24.7%
    January
    2.4%
    -1.0%
    February
    4.0%
    2.7%
    March
    5.8%
    4.3%
    April
    3.0%
    5.2%
    May
    -1.8%
    0.6%
    June
    2.9%
    2.2%