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Backtest - WO Classic with 6 Positions

End Balance
$5,644,083
28.4% CAGR
Drawdown
-$813,624
-17.3%
Sortino
1.01
1.63 Sharpe
Stack Positions
The percent return on this chart represents the sum of all individual day percent gains. This does not include compounding or represent total return.
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Total Return CAGR Drawdown MAR Sharpe Sortino Annualized Vol. Correlation Beta
Portfolio 464.4% 28.4% -17.3% 1.65 1.63 1.01 14.0 0.49 0.36
SPX 111.4% 11.4% -35.6% 0.32 0.50 0.61 19.26
Start Date
September 1, 2016
End Date
July 31, 2023
Start Balance
$1,000,000
End Balance
$5,644,083
Broker Fees
$197,227
Return %
464.4%
Return $
$4,644,083
CAGR
28.4%
Drawdown %
-17.3%
Drawdown $
-$813,624
Drawdown Days
208 days
Sortino
1.01
Sharpe
1.63
MAR
1.65
Annual Vol.
14.0%
Correlation
0.49
Beta
0.36
Trades
10193
Winners
9999 (98.1%)
Losers
194
Avg Gain
$456
Avg Winner
$1,011
Avg Loser
-$28,159
Premium Collected $
$13,436,161
Premium Retained $
$4,841,310
Premium Retained %
36.0%
  • 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
    17.9%
    -5.0%
    January
    1.8%
    5.5%
    February
    -0.5%
    -3.7%
    March
    3.8%
    -2.6%
    April
    4.5%
    0.4%
    May
    2.8%
    2.2%
    June
    2.5%
    0.5%
    July
    2.5%
    3.6%
    August
    2.4%
    3.0%
    September
    1.9%
    0.5%
    October
    -3.8%
    -7.0%
    November
    4.2%
    1.9%
    December
    -5.0%
    -9.3%
  • 2019
    33.9%
    26.2%
    January
    5.4%
    7.7%
    February
    2.5%
    3.0%
    March
    2.2%
    1.8%
    April
    2.2%
    3.9%
    May
    3.6%
    -6.7%
    June
    3.2%
    6.7%
    July
    2.4%
    1.3%
    August
    2.5%
    -1.6%
    September
    3.2%
    1.7%
    October
    -1.5%
    2.1%
    November
    1.9%
    3.4%
    December
    2.1%
    2.8%
  • 2020
    70.7%
    21.1%
    January
    -1.9%
    -0.1%
    February
    -3.3%
    -8.5%
    March
    23.5%
    -9.7%
    April
    12.2%
    12.7%
    May
    -0.6%
    4.6%
    June
    3.9%
    2.2%
    July
    5.5%
    5.4%
    August
    3.7%
    6.8%
    September
    4.1%
    -3.8%
    October
    0.2%
    -2.6%
    November
    5.9%
    10.3%
    December
    4.1%
    3.7%
  • 2021
    32.5%
    24.7%
    January
    1.8%
    -1.0%
    February
    4.1%
    2.7%
    March
    5.4%
    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
    2.7%
    -4.8%
    October
    3.5%
    6.8%
    November
    1.2%
    -0.8%
    December
    4.3%
    4.4%
  • 2022
    8.6%
    -18.6%
    January
    -3.9%
    -5.3%
    February
    -0.1%
    -3.0%
    March
    7.6%
    3.8%
    April
    -8.6%
    -9.0%
    May
    3.5%
    0.4%
    June
    -9.1%
    -8.4%
    July
    6.4%
    8.9%
    August
    0.1%
    -4.2%
    September
    3.9%
    -9.5%
    October
    3.9%
    8.0%
    November
    5.5%
    5.5%
    December
    0.8%
    -5.9%
  • 2023
    16.0%
    18.4%
    January
    1.6%
    6.1%
    February
    5.0%
    -2.6%
    March
    1.7%
    3.6%
    April
    0.7%
    1.5%
    May
    2.4%
    0.3%
    June
    1.5%
    6.3%
    July
    2.2%
    3.1%
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