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Backtest - WO Classic with 6 Positions

End Balance
$6,785,284
28.0% CAGR
Drawdown
-$790,253
-16.6%
Sortino
0.75
2.10 Sharpe
Benchmark Comparison
Total Return CAGR Drawdown MAR Sharpe Sortino Annualized Vol. Correlation Beta
Backtest 578.5% 28.0% -16.6% 1.69 2.10 0.75 10.6 0.28 0.16
SPX 141.2% 12.0% -33.9% 0.35 0.55 0.66 18.60
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 EDT
1 DTE (1 min - 4 max)
-0.055 PUT Δ
Double 0 DTE at 3:50 PM EDT
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 EDT
1 DTE (1 min - 4 max)
-0.065 PUT Δ
Double 0 DTE at 3:50 PM EDT
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 EDT
1 DTE (1 min - 4 max)
-0.075 PUT Δ
Double 0 DTE at 3:50 PM EDT
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 EDT
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 EDT
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 EDT
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
May 30, 2024
Start Balance
$1,000,000
End Balance
$6,785,284
Broker Fees
$243,927
Return %
578.5%
Return $
$5,785,284
CAGR
28.0%
Drawdown %
-16.6%
Drawdown $
-$790,253
Drawdown Days
210 days
Sortino
0.75
Sharpe
2.10
MAR
1.69
Annual Vol.
10.6%
Correlation
0.28
Beta
0.16
Trades
11656
Winners
11433 (98.1%)
Losers
223
Avg Gain
$496
Avg Winner
$1,048
Avg Loser
-$27,779
Premium Collected $
$15,933,500
Premium Retained $
$6,029,211
Premium Retained %
37.8%
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Balance
Positions
Monthly Performance
Weekly Performance
Daily Performance