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Backtest - WO Classic with 2 Positions

End Balance
$5,933,132
29.4% CAGR
Drawdown
-$928,080
-18.7%
Sortino
1.04
1.67 Sharpe
Stack Positions
The percent return on this chart represents the sum of all individual day percent gains. This does not include compounding or represent total return.
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Total Return CAGR Drawdown MAR Sharpe Sortino Annualized Vol. Correlation Beta
Portfolio 493.3% 29.4% -18.7% 1.57 1.67 1.04 14.2 0.48 0.35
SPX 111.4% 11.4% -35.6% 0.32 0.50 0.61 19.26
Start Date
September 1, 2016
End Date
July 31, 2023
Start Balance
$1,000,000
End Balance
$5,933,132
Broker Fees
$205,902
Return %
493.3%
Return $
$4,933,132
CAGR
29.4%
Drawdown %
-18.7%
Drawdown $
-$928,080
Drawdown Days
204 days
Sortino
1.04
Sharpe
1.67
MAR
1.57
Annual Vol.
14.2%
Correlation
0.48
Beta
0.35
Trades
3387
Winners
3324 (98.1%)
Losers
63
Avg Gain
$1,456
Avg Winner
$3,176
Avg Loser
-$89,294
Premium Collected $
$13,947,117
Premium Retained $
$5,139,034
Premium Retained %
36.8%
  • Year

    Backtest

    SPX

  • 2016
    4.9%
    3.3%
    September
    -0.4%
    0.0%
    October
    2.0%
    -1.9%
    November
    2.6%
    3.4%
    December
    0.6%
    1.8%
  • 2017
    19.7%
    18.0%
    January
    0.1%
    1.8%
    February
    1.4%
    3.7%
    March
    2.1%
    0.0%
    April
    1.7%
    0.9%
    May
    1.7%
    1.2%
    June
    1.6%
    0.5%
    July
    1.4%
    2.0%
    August
    1.9%
    0.1%
    September
    1.5%
    1.9%
    October
    1.5%
    2.2%
    November
    1.7%
    2.8%
    December
    1.4%
    1.0%
  • 2018
    18.5%
    -5.0%
    January
    1.8%
    5.5%
    February
    -0.5%
    -3.7%
    March
    4.0%
    -2.6%
    April
    4.5%
    0.4%
    May
    2.6%
    2.2%
    June
    2.4%
    0.5%
    July
    2.5%
    3.6%
    August
    2.3%
    3.0%
    September
    1.8%
    0.5%
    October
    -3.7%
    -7.0%
    November
    4.4%
    1.9%
    December
    -4.5%
    -9.3%
  • 2019
    37.6%
    26.2%
    January
    5.4%
    7.7%
    February
    2.6%
    3.0%
    March
    2.2%
    1.8%
    April
    2.2%
    3.9%
    May
    3.8%
    -6.7%
    June
    3.1%
    6.7%
    July
    2.4%
    1.3%
    August
    4.4%
    -1.6%
    September
    3.3%
    1.7%
    October
    -0.9%
    2.1%
    November
    1.9%
    3.4%
    December
    2.1%
    2.8%
  • 2020
    71.8%
    21.1%
    January
    -1.8%
    -0.1%
    February
    -2.4%
    -8.5%
    March
    25.2%
    -9.7%
    April
    12.1%
    12.7%
    May
    -2.0%
    4.6%
    June
    4.2%
    2.2%
    July
    5.6%
    5.4%
    August
    3.7%
    6.8%
    September
    4.5%
    -3.8%
    October
    -0.7%
    -2.6%
    November
    5.8%
    10.3%
    December
    4.1%
    3.7%
  • 2021
    33.5%
    24.7%
    January
    2.5%
    -1.0%
    February
    4.1%
    2.7%
    March
    5.6%
    4.3%
    April
    3.0%
    5.2%
    May
    -1.9%
    0.6%
    June
    2.9%
    2.2%
    July
    -1.0%
    2.3%
    August
    2.6%
    2.9%
    September
    2.9%
    -4.8%
    October
    3.6%
    6.8%
    November
    1.2%
    -0.8%
    December
    4.2%
    4.4%
  • 2022
    9.7%
    -18.6%
    January
    -3.8%
    -5.3%
    February
    -0.1%
    -3.0%
    March
    8.1%
    3.8%
    April
    -8.9%
    -9.0%
    May
    3.4%
    0.4%
    June
    -10.4%
    -8.4%
    July
    7.1%
    8.9%
    August
    0.9%
    -4.2%
    September
    3.8%
    -9.5%
    October
    4.1%
    8.0%
    November
    6.1%
    5.5%
    December
    0.9%
    -5.9%
  • 2023
    15.3%
    18.4%
    January
    1.6%
    6.1%
    February
    4.9%
    -2.6%
    March
    1.6%
    3.6%
    April
    0.2%
    1.5%
    May
    2.7%
    0.3%
    June
    1.2%
    6.3%
    July
    2.2%
    3.1%
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
Performance Per Contract Trades Wins Losses Win %
Avg Entry
Avg Exit
Avg Profit
Total Profit
6.5D put 72% PT 1919 1875 44 97.7% $1.61 $0.99 $0.62 $1,184.41
2.5D call 80% PT 1468 1449 19 98.7% $0.41 $0.23 $0.18 $262.92
Position Timing Result
6.5D put 72% PT
-19 Fri Sep 2nd 2135p
Thu Sep 1st 2016
9:34 AM EDT | $0.84 credit
Fri Sep 2nd 2016
9:30 AM EDT | $0.08 debit
Profit Target
$1,406 | 0.17%
$1,001,406 balance
2.5D call 80% PT
-18 Fri Sep 2nd 2205c
Thu Sep 1st 2016
9:31 AM EDT | $0.09 credit
Fri Sep 2nd 2016
4:00 PM EDT |
Expired
$144 | 0.02%
$1,001,550 balance
6.5D put 72% PT
-19 Tue Sep 6th 2150p
Fri Sep 2nd 2016
9:34 AM EDT | $0.63 credit
Tue Sep 6th 2016
9:30 AM EDT | $0.12 debit
Profit Target
$931 | 0.11%
$1,002,481 balance
6.5D put 72% PT
-19 Wed Sep 7th 2150p
Tue Sep 6th 2016
9:34 AM EDT | $0.59 credit
Wed Sep 7th 2016
9:30 AM EDT | $0.09 debit
Profit Target
$912 | 0.11%
$1,003,393 balance
2.5D call 80% PT
-18 Wed Sep 7th 2210c
Tue Sep 6th 2016
9:31 AM EDT | $0.09 credit
Wed Sep 7th 2016
4:00 PM EDT |
Expired
$144 | 0.02%
$1,003,537 balance
6.5D put 72% PT
-19 Fri Sep 9th 2145p
Wed Sep 7th 2016
9:34 AM EDT | $0.80 credit
Fri Sep 9th 2016
4:00 PM EDT | $16.99 debit
Assigned
-$30,780 | -3.78%
$972,757 balance
2.5D call 80% PT
-18 Fri Sep 9th 2205c
Thu Sep 8th 2016
9:31 AM EDT | $0.10 credit
Fri Sep 9th 2016
4:00 PM EDT |
Expired
$162 | 0.02%
$972,919 balance
6.5D put 72% PT
-19 Mon Sep 12th 2070p
Fri Sep 9th 2016
3:50 PM EDT | $1.16 credit
Mon Sep 12th 2016
9:54 AM EDT | $0.28 debit
Profit Target
$1,634 | 0.21%
$974,553 balance
6.5D put 72% PT
-19 Wed Sep 14th 2045p
Mon Sep 12th 2016
9:55 AM EDT | $1.46 credit
Mon Sep 12th 2016
1:16 PM EDT | $0.38 debit
Profit Target
$2,014 | 0.26%
$976,567 balance
2.5D call 80% PT
-18 Wed Sep 14th 2185c
Mon Sep 12th 2016
9:31 AM EDT | $0.23 credit
Tue Sep 13th 2016
12:31 PM EDT | $0.05 debit
Profit Target
$306 | 0.04%
$976,873 balance
2.5D call 80% PT
-18 Wed Sep 14th 2170c
Tue Sep 13th 2016
12:32 PM EDT | $0.19 credit
Wed Sep 14th 2016
9:32 AM EDT | $0.05 debit
Profit Target
$234 | 0.03%
$977,107 balance
6.5D put 72% PT
-19 Wed Sep 14th 2095p
Mon Sep 12th 2016
1:17 PM EDT | $1.02 credit
Wed Sep 14th 2016
9:37 AM EDT | $0.28 debit
Profit Target
$1,368 | 0.17%
$978,475 balance
6.5D put 72% PT
-19 Mon Sep 19th 2060p
Thu Sep 15th 2016
9:34 AM EDT | $1.24 credit
Thu Sep 15th 2016
2:15 PM EDT | $0.34 debit
Profit Target
$1,672 | 0.21%
$980,147 balance
2.5D call 80% PT
-18 Mon Sep 19th 2180c
Thu Sep 15th 2016
9:31 AM EDT | $0.24 credit
Fri Sep 16th 2016
11:10 AM EDT | $0.05 debit
Profit Target
$324 | 0.04%
$980,471 balance
2.5D call 80% PT
-18 Mon Sep 19th 2170c
Fri Sep 16th 2016
11:11 AM EDT | $0.15 credit
Fri Sep 16th 2016
3:11 PM EDT | $0.05 debit
Profit Target
$162 | 0.02%
$980,633 balance
6.5D put 72% PT
-19 Mon Sep 19th 2095p
Thu Sep 15th 2016
2:16 PM EDT | $0.97 credit
Fri Sep 16th 2016
3:33 PM EDT | $0.27 debit
Profit Target
$1,292 | 0.16%
$981,925 balance
6.5D put 72% PT
-19 Mon Sep 19th 2110p
Fri Sep 16th 2016
3:34 PM EDT | $0.70 credit
Mon Sep 19th 2016
9:30 AM EDT | $0.09 debit
Profit Target
$1,121 | 0.14%
$983,046 balance
6.5D put 72% PT
-19 Wed Sep 21st 2090p
Mon Sep 19th 2016
9:34 AM EDT | $0.96 credit
Wed Sep 21st 2016
9:53 AM EDT | $0.25 debit
Profit Target
$1,311 | 0.17%
$984,357 balance
2.5D call 80% PT
-18 Wed Sep 21st 2190c
Mon Sep 19th 2016
9:31 AM EDT | $0.22 credit
Wed Sep 21st 2016
2:01 PM EDT | $0.05 debit
Profit Target
$288 | 0.04%
$984,645 balance
6.5D put 72% PT
-19 Fri Sep 23rd 2085p
Wed Sep 21st 2016
9:54 AM EDT | $1.42 credit
Wed Sep 21st 2016
3:05 PM EDT | $0.39 debit
Profit Target
$1,919 | 0.24%
$986,564 balance