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Backtest - WO Classic with 6 Positions

End Balance
$5,851,720
28.2% CAGR
Drawdown
-$837,050
-17.6%
Sortino
1.00
1.63 Sharpe
Benchmark Comparison
Total Return CAGR Drawdown MAR Sharpe Sortino Annualized Vol. Correlation Beta
Backtest 485.2% 28.2% -17.6% 1.60 1.63 1.00 13.9 0.28 0.16
SPX 99.3% 10.2% -33.9% 0.30 0.69 0.82 23.61
Return %
Drawdown
Backtest Positions
Position
Entry Exit
5.5D put 74% PT
SPXW Short Put
25.0% 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)
-0.055 PUT Δ
Double 0 DTE at 3:50 PM EST
74% profit target
6.5D put 72% PT
SPXW Short Put
30.0% 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
7.5D put 69% PT
SPXW Short Put
25.0% 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)
-0.075 PUT Δ
Double 0 DTE at 3:50 PM EST
69% profit target
2D call 78% PT
SPXW Short Call
25.0% 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)
0.02 CALL Δ
78% profit target
2.5D call 80% PT
SPXW Short Call
30.0% 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
3D call 83% PT
SPXW Short Call
25.0% 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)
0.03 CALL Δ
83% profit target

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Detailed Stats
Start Date
September 1, 2016
End Date
October 13, 2023
Start Balance
$1,000,000
End Balance
$5,851,720
Broker Fees
$209,909
Return %
485.2%
Return $
$4,851,720
CAGR
28.2%
Drawdown %
-17.6%
Drawdown $
-$837,050
Drawdown Days
209 days
Sortino
1.00
Sharpe
1.63
MAR
1.60
Annual Vol.
13.9%
Correlation
0.28
Beta
0.16
Trades
10563
Winners
10361 (98.1%)
Losers
202
Avg Gain
$459
Avg Winner
$1,028
Avg Loser
-$28,695
Premium Collected $
$14,153,705
Premium Retained $
$5,061,629
Premium Retained %
35.8%
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Balance
Positions
Monthly Performance
Weekly Performance
Daily Performance
Day of Week Performance
Yearly Results
  • Year

    Backtest

    SPX

  • 2016
    4.5%
    3.3%
    September
    -1.0%
    0.0%
    October
    2.0%
    -1.9%
    November
    2.6%
    3.4%
    December
    0.9%
    1.8%
  • 2017
    20.1%
    18.0%
    January
    0.9%
    1.8%
    February
    1.4%
    3.7%
    March
    2.1%
    0.0%
    April
    1.7%
    0.9%
    May
    1.5%
    1.2%
    June
    1.6%
    0.5%
    July
    1.4%
    2.0%
    August
    1.7%
    0.1%
    September
    1.5%
    1.9%
    October
    1.5%
    2.2%
    November
    1.7%
    2.8%
    December
    1.4%
    1.0%
  • 2018
    18.1%
    -5.0%
    January
    1.8%
    5.5%
    February
    -0.4%
    -3.7%
    March
    3.8%
    -2.6%
    April
    4.5%
    0.4%
    May