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Backtest - WO Classic with 6 Positions
- End Balance
-
$6,785,28428.0% CAGR
- Drawdown
-
-$790,253-16.6%
- Sortino
-
0.752.10 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
|
Fills | 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
|
$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
|
$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
|
$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
|
$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
|
$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
|
$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
|
Position Display
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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%
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