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Backtest - WO Classic with 2 Positions

End Balance
$6,159,051
29.1% CAGR
Drawdown
-$934,081
-18.6%
Sortino
1.03
1.68 Sharpe
Benchmark Comparison
Total Return CAGR Drawdown MAR Sharpe Sortino Annualized Vol. Correlation Beta
Backtest 515.9% 29.1% -18.6% 1.56 1.68 1.03 13.9 0.27 0.16
SPX 99.3% 10.2% -33.9% 0.30 0.69 0.82 23.61
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 EST
1 DTE (1 min - 4 max)
-0.065 PUT Δ
Double 0 DTE at 3:50 PM EST
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 EST
1 DTE (1 min - 4 max)
0.025 CALL Δ
80% profit target

Confirm removal of from this backtest.

Detailed Stats
Start Date
September 1, 2016
End Date
October 13, 2023
Start Balance
$1,000,000
End Balance
$6,159,051
Broker Fees
$220,282
Return %
515.9%
Return $
$5,159,051
CAGR
29.1%
Drawdown %
-18.6%
Drawdown $
-$934,081
Drawdown Days
204 days
Sortino
1.03
Sharpe
1.68
MAR
1.56
Annual Vol.
13.9%
Correlation
0.27
Beta
0.16
Trades
3513
Winners
3447 (98.1%)
Losers
66
Avg Gain
$1,469
Avg Winner
$3,236
Avg Loser
-$90,824
Premium Collected $
$14,738,974
Premium Retained $
$5,379,333
Premium Retained %
36.5%
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Balance
Positions
Monthly Performance
Weekly Performance
Daily Performance
Day of Week Performance
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
    0.6%
    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
    18.7%
    -5.0%
    January
    1.8%
    5.5%
    February
    -0.4%
    -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
    37.7%
    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
    73.3%
    21.1%
    January
    -1.8%
    -0.1%
    February
    -2.4%
    -8.5%
    March
    26.0%
    -9.7%
    April
    12.1%
    12.7%
    May
    -1.8%
    4.6%
    June
    4.3%
    2.2%
    July
    5.6%
    5.4%
    August
    3.7%
    6.8%
    September
    4.5%
    -3.8%
    October
    -0.8%
    -2.6%
    November
    5.8%
    10.3%
    December
    4.1%
    3.7%
  • 2021
    33.6%
    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
    -0.9%
    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
    10.1%
    -18.6%
    January
    -3.7%
    -5.3%
    February
    -0.1%
    -3.0%
    March
    8.1%
    3.8%
    April
    -9.0%
    -9.0%
    May
    3.5%
    0.4%
    June
    -10.2%
    -8.4%
    July
    7.0%
    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
    17.8%
    12.7%
    January
    1.6%
    6.1%
    February
    4.9%
    -2.6%
    March
    1.5%
    3.6%
    April
    0.2%
    1.5%
    May
    2.7%
    0.3%
    June
    1.1%
    6.3%
    July
    2.2%
    3.1%
    August
    1.9%
    -1.7%
    September
    -1.5%
    -4.9%
    October
    1.9%
    1.0%
Performance by Position
Performance Per Contract Trades Wins Losses Win %
Avg Entry
Avg Exit
Avg Profit
Total Profit
6.5D put 72% PT 1984 1937 47 97.6% $1.60 $1.00 $0.60 $1,195.96
2.5D call 80% PT 1529 1510 19 98.8% $0.41 $0.22 $0.19 $285.62
Backtest Total 3513 3447 66 98.1% $1.08 $0.66 $0.42 $1,481.57
Trade Log
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 | 88.10%
$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 | 88.89%
$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 | 77.78%
$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