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Backtest - WO Classic with 2 Positions

End Balance
$2,561,496
29.0% CAGR
Drawdown
-$453,138
-18.6%
Sortino
1.02
1.63 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
$2,561,496
Broker Fees
$87,448
Return %
412.3%
Return $
$2,061,496
CAGR
29.0%
Drawdown %
-18.6%
Drawdown $
-$453,138
Drawdown Days
204 days
Sortino
1.02
Sharpe
1.63
MAR
1.56
Annual Vol.
14.6%
Trades
3089
Winners
3032 (98.2%)
Losers
57
Avg Gain
$667
Avg Winner
$1,500
Avg Loser
-$43,646
Premium Collected $
$6,055,232
Premium Retained $
$2,148,944
Premium Retained %
35.5%
  • Year

    Backtest

    SPX

  • 2016
    5.0%
    3.3%
    September
    -0.3%
    -0.1%
    October
    2.0%
    -1.9%
    November
    2.6%
    3.4%
    December
    0.6%
    1.8%
  • 2017
    19.6%
    18.0%
    January
    0.2%
    1.8%
    February
    1.3%
    3.7%
    March
    2.1%
    0.0%
    April
    1.6%
    0.9%
    May
    1.6%
    1.2%
    June
    1.5%
    0.5%
    July
    1.4%
    1.9%
    August
    1.9%
    0.1%
    September
    1.6%
    1.9%
    October
    1.6%
    2.2%
    November
    1.7%
    2.8%
    December
    1.4%
    1.1%
  • 2018
    18.7%
    -5.1%
    January
    1.8%
    5.5%
    February
    -0.5%
    -3.7%
    March
    3.9%
    -2.5%
    April
    4.4%
    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
    4.3%
    1.9%
    December
    -4.2%
    -9.3%
  • 2019
    36.9%
    26.2%
    January
    5.3%
    7.7%
    February
    2.6%
    3.0%
    March
    2.2%
    1.8%
    April
    2.2%
    3.9%
    May
    3.7%
    -6.7%
    June
    3.1%
    6.7%
    July
    2.3%
    1.4%
    August
    4.4%
    -1.6%
    September
    3.2%
    1.8%
    October
    -1.2%
    2.1%
    November
    1.9%
    3.4%
    December
    2.1%
    2.8%
  • 2020
    70.3%
    21.0%
    January
    -2.0%
    -0.1%
    February
    -2.3%
    -8.5%
    March
    24.9%
    -9.7%
    April
    12.0%
    12.6%
    May
    -2.0%
    4.7%
    June
    4.1%
    2.2%
    July
    5.6%
    5.5%
    August
    3.6%
    6.8%
    September
    4.4%
    -3.8%
    October
    -0.8%
    -2.6%
    November
    5.8%
    10.3%
    December
    4.0%
    3.7%
  • 2021
    33.1%
    24.7%
    January
    2.5%
    -1.0%
    February
    4.0%
    2.7%
    March
    5.5%
    4.3%
    April
    3.0%
    5.1%
    May
    -2.1%
    0.6%
    June
    2.8%
    2.2%
    July
    -1.0%
    2.3%
    August
    2.6%
    2.9%
    September
    2.9%
    -4.8%
    October
    3.5%
    6.8%
    November
    1.2%
    -0.8%
    December
    4.2%
    4.4%
  • 2022
    9.6%
    -18.7%
    January
    -3.9%
    -5.3%
    February
    0.0%
    -3.0%
    March
    8.1%
    3.8%
    April
    -8.8%
    -9.0%
    May
    3.4%
    0.4%
    June
    -10.3%
    -8.4%
    July
    7.0%
    8.9%
    August
    0.9%
    -4.2%
    September
    3.7%
    -9.5%
    October
    4.1%
    8.0%
    November
    6.0%
    5.5%
    December
    0.9%
    -5.9%
  • 2023
    1.1%
    5.9%
    January
    1.1%
    5.9%
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
Position Timing Result
6.5D put 72% PT
-9 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
$666 | 0.17%
$500,666 balance
2.5D call 80% PT
-9 Fri Sep 2nd 2205c
Thu Sep 1st 2016
9:31 AM EDT | $0.09 credit
Fri Sep 2nd 2016
4:00 PM EDT |
Expired
$72 | 0.02%
$500,738 balance
6.5D put 72% PT
-9 Tue Sep 6th 2150p
Fri Sep 2nd 2016
9:34 AM EDT | $0.63 credit
Tue Sep 6th 2016
9:30 AM EDT | $0.13 debit
Profit Target
$432 | 0.11%
$501,170 balance
6.5D put 72% PT
-9 Wed Sep 7th 2150p
Tue Sep 6th 2016
9:34 AM EDT | $0.59 credit
Wed Sep 7th 2016
9:30 AM EDT | $0.10 debit
Profit Target
$423 | 0.11%
$501,593 balance
2.5D call 80% PT
-9 Wed Sep 7th 2210c
Tue Sep 6th 2016
9:31 AM EDT | $0.09 credit
Wed Sep 7th 2016
4:00 PM EDT |
Expired
$72 | 0.02%
$501,665 balance
6.5D put 72% PT
-9 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
-$14,580 | -3.78%
$487,085 balance
2.5D call 80% PT
-9 Fri Sep 9th 2205c
Thu Sep 8th 2016
9:31 AM EDT | $0.10 credit
Fri Sep 9th 2016
4:00 PM EDT |
Expired
$81 | 0.02%
$487,166 balance
6.5D put 72% PT
-10 Mon Sep 12th 2070p
Fri Sep 9th 2016
3:50 PM EDT | $1.16 credit
Mon Sep 12th 2016
9:54 AM EDT | $0.30 debit
Profit Target
$840 | 0.20%
$488,006 balance
6.5D put 72% PT
-10 Wed Sep 14th 2045p
Mon Sep 12th 2016
9:55 AM EDT | $1.46 credit
Mon Sep 12th 2016
1:16 PM EDT | $0.39 debit
Profit Target
$1,050 | 0.26%
$489,056 balance
2.5D call 80% PT
-9 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
$153 | 0.04%
$489,209 balance
2.5D call 80% PT
-9 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
$117 | 0.03%
$489,326 balance
6.5D put 72% PT
-9 Wed Sep 14th 2095p
Mon Sep 12th 2016
1:17 PM EDT | $1.02 credit
Wed Sep 14th 2016
9:37 AM EDT | $0.29 debit
Profit Target
$639 | 0.17%
$489,965 balance
6.5D put 72% PT
-10 Mon Sep 19th 2060p
Thu Sep 15th 2016
9:34 AM EDT | $1.24 credit
Thu Sep 15th 2016
2:15 PM EDT | $0.35 debit
Profit Target
$870 | 0.21%
$490,835 balance
2.5D call 80% PT
-9 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
$162 | 0.04%
$490,997 balance
2.5D call 80% PT
-9 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
$81 | 0.02%
$491,078 balance
6.5D put 72% PT
-9 Mon Sep 19th 2095p
Thu Sep 15th 2016
2:16 PM EDT | $0.97 credit
Fri Sep 16th 2016
3:33 PM EDT | $0.28 debit
Profit Target
$603 | 0.16%
$491,681 balance
6.5D put 72% PT
-9 Mon Sep 19th 2110p
Fri Sep 16th 2016
3:34 PM EDT | $0.70 credit
Mon Sep 19th 2016
9:30 AM EDT | $0.10 debit
Profit Target
$522 | 0.14%
$492,203 balance
6.5D put 72% PT
-9 Wed Sep 21st 2090p
Mon Sep 19th 2016
9:34 AM EDT | $0.96 credit
Wed Sep 21st 2016
9:53 AM EDT | $0.26 debit
Profit Target
$612 | 0.16%
$492,815 balance
2.5D call 80% PT
-9 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
$144 | 0.04%
$492,959 balance
6.5D put 72% PT
-9 Fri Sep 23rd 2085p
Wed Sep 21st 2016
9:54 AM EDT | $1.42 credit
Wed Sep 21st 2016
3:05 PM EDT | $0.40 debit
Profit Target
$900 | 0.24%
$493,859 balance