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Backtest - * FTF 33K 3Dp 5Dc 10Dp 3:00 (best)
End Balance
$84,658
15.3% CAGR
Drawdown
-$1,038
-2.8%
Sortino
2.94
3.11 Sharpe
MAR
5.42
Trades
2747
Win Rate
92.6%
Best Mo
8.9%
Worst Mo
-1.0%
Positive Mos
85%
Benchmark Comparison
| Total Return | CAGR | Drawdown | MAR | Sharpe | Sortino | Profit Factor | Annualized Vol. | Correlation | Beta | |
|---|---|---|---|---|---|---|---|---|---|---|
| Backtest | 156.5% | 15.3% | -2.8% | 5.42 | 3.11 | 2.94 | 0% | |||
| SPX | 0.0% | 0.0% | -0.0% | 0% |
Return %
Drawdown
Backtest Positions
| Position | Fills | Entry | Exit |
|---|---|---|---|
|
3D PCS
SPXW Put Credit Spread
1x contract
$1.00 fee per contract
1 minute between trades
50% slippage at entry
50% slippage at exit
|
$1.00 fee per contract
1 minute between trades
50% slippage at entry
50% slippage at exit
|
Sequential
After 3:55 PM EDT
Before 3:59 PM EDT
1 DTE (1 min - 1 max)
-0.03 PUT Δ
Put spread $0.05 target premium
Put spread 150 max width
Double 0 DTE at 3:55 PM EDT
|
99% profit target
-0.3 PUT Δ loss
0 DTE at 3:00 PM EDT
|
|
5D CCS
SPXW Call Credit Spread
1x contract
$1.00 fee per contract
50% slippage at entry
50% slippage at exit
|
$1.00 fee per contract
50% slippage at entry
50% slippage at exit
|
Daily
9:35 AM EDT
0 DTE (0 min - 0 max)
0.05 CALL Δ
Call spread $0.05 target premium
Call spread 150 max width
|
99% profit target
0.4 CALL Δ loss
|
|
10D PCS
SPXW Put Credit Spread
1x contract
$1.00 fee per contract
50% slippage at entry
50% slippage at exit
|
$1.00 fee per contract
50% slippage at entry
50% slippage at exit
|
Daily
3:00 PM EDT
0 DTE (0 min - 0 max)
-0.1 PUT Δ
Put spread $0.05 target premium
Put spread 150 max width
|
99% profit target
-0.4 PUT Δ loss
|
Reorder positions
Change the order that positions are listed in the backtest
Remove
Confirm removal of from this backtest.
Clone
This will create a copy of .
Detailed Stats
Start Date
January 1, 2016
End Date
August 18, 2022
Start Balance
$33,000
End Balance
$84,658
Total Fees
$7,364
Return %
156.5%
Return $
$51,658
CAGR
15.3%
Drawdown %
-2.8%
Drawdown $
-$1,038
Drawdown Days
65 days
Sortino
2.94
Sharpe
3.11
MAR
5.42
Annual Vol.
Correlation
Beta
Trades
2747
Winners
2544 (92.6%)
Losers
203
Avg Gain
Calculating ...
Avg Winner
Calculating ...
Avg Loser
Calculating ...
Premium Collected $
Calculating ...
Premium Retained $
Calculating ...
Premium Retained %
Calculating ...
Regime Attribution
Start Date
January 1, 2016
End Date
August 18, 2022
Start Balance
$33,000
End Balance
$84,658
Total Fees
$7,364
Return %
156.5%
Return $
$51,658
CAGR
15.3%
Drawdown %
-2.8%
Drawdown $
-$1,038
Drawdown Days
65 days
Sortino
2.94
Sharpe
3.11
MAR
5.42
Annual Vol.
Correlation
Beta
Trades
2747
Winners
2544 (92.6%)
Losers
203
Avg Gain
Calculating ...
Avg Winner
Calculating ...
Avg Loser
Calculating ...
Premium Collected $
Calculating ...
Premium Retained $
Calculating ...
Premium Retained %
Calculating ...
Regime Attribution
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.
Equity & Positions
Balance
Positions
Periodic Performance
Yearly Performance
Quarterly Performance
Monthly Performance
Weekly Performance
Daily Performance
Day of Week Performance
Relative Performance
Annual Returns vs Underlying
Daily Returns vs Underlying
Consistency Over Time
Rolling Risk-Adjusted Returns
Win Rate Stability
Trade Distributions
Trade P/L Distribution
Periodic Return Distribution
Trade Duration
Win/Loss Streak Distribution
Trade P/L by Factor
Where the P/L Went
Entry Conditions
P/L by VIX at Entry
P/L by IV at Entry
P/L by Entry-Day Underlying Move
P/L by Time of Day (ET)
Outcome by Entry Delta
Volatility Regime Matrix
The matrix uses wider bands than the charts above, and needs both of its axes captured on a trade, so counts can differ.
P/L by Underlying Move During Trade
P/L by VIX Move During Trade
P/L by GEX Regime
P/L by Total GEX
Fill Quality
Spread Size and Slippage vs Mid
How Exits Were Priced
Drawdown Anatomy
Drawdown Episodes
Top 5 Drawdowns
Yearly Results
-
Year
Backtest $ Backtest
Backtest %
SPX
-
$2,0476.2%(-1.6%)11.5%(-9.3%)January$1570.5%(-0.2%)-3.5%(-7.8%)February$2790.8%(-0.0%)-0.2%(-5.7%)March$2650.8%(-0.4%)6.5%(-1.1%)April$670.2%(-0.5%)0.3%(-1.8%)May$3090.9%(-0.0%)1.6%(-2.1%)June$50.0%(-0.6%)0.2%(-5.6%)July$220.1%(-0.7%)3.5%(-0.7%)August$2890.8%(-0.0%)-0.1%(-0.9%)September-$239-0.7%(-1.6%)0.0%(-2.8%)October$3200.9%(-0.0%)-1.9%(-1.7%)November$3571.0%(-0.5%)3.4%(-1.2%)December$2160.6%(-0.2%)1.8%(-1.4%)
-
$1,7595.0%(-0.7%)18.0%(-2.8%)January$2910.8%(-0.4%)1.8%(-0.8%)February$1780.5%(-0.2%)3.7%(-0.2%)March$1640.5%(-0.6%)0.0%(-2.3%)April-$30.0%(-0.4%)0.9%(-1.3%)May-$52-0.1%(-0.7%)1.2%(-1.9%)June$3320.9%(-0.0%)0.5%(-1.4%)July$1390.4%(-0.2%)1.9%(-0.9%)August$2490.7%(-0.4%)0.1%(-2.2%)September$2740.8%(-0.0%)1.9%(-0.8%)October-$160.0%(-0.5%)2.2%(-0.7%)November$590.2%(-0.5%)2.8%(-1.1%)December$1440.4%(-0.3%)1.1%(-0.6%)
-
$3,5849.7%(-2.8%)-5.1%(-19.8%)January$100.0%(-0.5%)5.5%(-1.8%)February-$254-0.7%(-2.7%)-3.7%(-8.5%)March$5921.6%(-0.9%)-2.5%(-7.1%)April$2120.6%(-2.2%)0.4%(-2.7%)May-$36-0.1%(-1.2%)2.2%(-1.6%)June$4471.2%(-0.3%)0.5%(-3.1%)July$2030.5%(-0.5%)3.6%(-1.5%)August$6471.7%(-0.0%)3.0%(-1.4%)September$3941.0%(-0.2%)0.5%(-0.9%)October-$404-1.0%(-1.6%)-7.0%(-9.7%)November$7341.9%(-0.9%)1.9%(-6.4%)December$1,0392.6%(-1.4%)-9.3%(-15.7%)
-
$5,59113.8%(-1.9%)26.2%(-6.8%)January$7751.9%(-1.1%)7.7%(-2.5%)February$6911.7%(-0.1%)3.0%(-1.1%)March-$240-0.6%(-1.9%)1.8%(-2.2%)April$6031.4%(-0.0%)3.9%(-0.6%)May-$41-0.1%(-1.3%)-6.7%(-6.6%)June$4831.1%(-0.7%)6.7%(-1.4%)July$4061.0%(-0.3%)1.4%(-1.5%)August$5871.4%(-1.2%)-1.6%(-3.8%)September$9342.1%(-0.0%)1.8%(-1.6%)October$4841.1%(-0.6%)2.1%(-2.0%)November$4711.0%(-0.0%)3.4%(-0.6%)December$4381.0%(-0.5%)2.8%(-0.7%)
-
$16,26835.4%(-1.6%)21.0%(-33.9%)January$3810.8%(-0.5%)-0.1%(-3.1%)February$1,4453.1%(-0.1%)-8.5%(-12.8%)March$4,2318.9%(-1.6%)-9.7%(-28.5%)April$2,9305.6%(-0.7%)12.6%(-4.8%)May$1,5842.9%(-0.3%)4.6%(-3.8%)June$7491.3%(-1.0%)2.2%(-7.1%)July$1,2872.2%(-0.5%)5.5%(-1.9%)August$7021.2%(-0.3%)6.8%(-0.8%)September$2810.5%(-1.0%)-3.7%(-9.6%)October$5450.9%(-1.1%)-2.6%(-7.5%)November$8231.4%(-0.8%)10.3%(-1.9%)December$1,3102.1%(-0.3%)3.7%(-1.5%)
-
$7,34111.8%(-1.4%)24.7%(-5.2%)January-$194-0.3%(-1.4%)-1.0%(-3.7%)February$8801.4%(-0.7%)2.7%(-3.2%)March$1,2051.9%(-0.6%)4.3%(-3.4%)April$6241.0%(-0.7%)5.1%(-1.2%)May$3730.6%(-0.6%)0.6%(-4.0%)June$5200.8%(-0.6%)2.2%(-2.1%)July$4430.7%(-0.3%)2.3%(-2.9%)August$690.1%(-0.7%)2.9%(-1.8%)September$9391.4%(-0.3%)-4.8%(-5.1%)October$1,1351.7%(-0.2%)6.8%(-1.3%)November$6280.9%(-0.6%)-0.8%(-2.9%)December$7191.0%(-0.6%)4.4%(-3.0%)
-
$15,06821.7%(-1.3%)-8.9%(-23.5%)January$1,8492.7%(-0.4%)-5.3%(-9.8%)February$1,7412.4%(-0.6%)-3.0%(-7.9%)March$2,2813.1%(-0.4%)3.8%(-4.9%)April$4920.7%(-0.7%)-9.0%(-9.8%)May$2,4143.2%(-1.0%)0.4%(-9.3%)June$2,2892.9%(-1.3%)-8.4%(-12.2%)July$1,8892.3%(-0.8%)8.9%(-2.9%)August$2,1132.6%(-0.2%)3.7%(-0.8%)
Monthly Returns
August 2022
S
Sun
M
Mon
T
Tue
W
Wed
T
Thu
F
Fri
Total
Total
-
$116.50
-
-
-
$228.00
-
-
-
$171.00
-
-
-
$190.00
-
-
-
$177.50
-
-
-
$883.00
-
-
-
$106.00
-
-
-
$236.00
-
-
-
$174.50
-
-
-
$209.00
-
-
-
-$148.50
-
-
-
$577.00
-
-
-
$98.50
-
-
-
$162.00
-
-
-
$231.50
-
-
-
$161.00
-
-
-
$653.00
-
-
Trade Log
Updating…
| Position | Position | Legs | Timing | Entry | Exit | Result |
|---|---|---|---|---|---|---|
| No trades found for this backtest | ||||||
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