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Backtest - WO Classic 5.5Δ Puts

End Balance
$2,030,906 16.3% CAGR
Drawdown
-$311,554 -17.4%
Sortino
0.64 1.12 Sharpe
Benchmark Comparison
Total Return CAGR Drawdown MAR Sharpe Sortino Profit Factor Annualized Vol. Correlation Beta
Backtest 306.2% 16.3% -17.4% 0.94 1.12 0.64 1.71 12% 0.56 0.38
SPX 216.5% 13.2% -33.9% 0.39 0.65 0.79 18%
Return %
Drawdown
Backtest Positions
Position Entry Exit
5.5D put 74% PT
SPXW Short Put
80.0% 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
Detailed Stats
Start Date
September 1, 2016
End Date
December 5, 2025
Start Balance
$500,000
End Balance
$2,030,906
Total Fees
$62,819
Return %
306.2%
Return $
$1,530,906
CAGR
16.3%
Drawdown %
-17.4%
Drawdown $
-$311,554
Drawdown Days
341 days
Sortino
0.64
Sharpe
1.12
MAR
0.94
Annual Vol.
12.3%
Correlation
0.56
Beta
0.38
Trades
2627
Winners
2578 (98.1%)
Losers
49
Avg Gain
$583
Avg Winner
$1,428
Avg Loser
-$43,901
Premium Collected $
$4,823,736
Premium Retained $
$1,593,725
Premium Retained %
33.0%
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
Drawdown Anatomy
Drawdown Episodes
Top 5 Drawdowns
Yearly Results

  • Year

    Backtest

    SPX

  • 3.9%
    3.3%
    September
    -0.2%
    0.0%
    October
    1.3%
    -1.9%
    November
    1.7%
    3.4%
    December
    1.1%
    1.8%
  • 15.4%
    18.0%
    January
    1.2%
    1.8%
    February
    0.9%
    3.7%
    March
    1.4%
    0.0%
    April
    1.2%
    0.9%
    May
    1.4%
    1.2%
    June
    1.2%
    0.5%
    July
    1.0%
    2.0%
    August
    1.5%
    0.1%
    September
    1.1%
    1.9%
    October
    1.1%
    2.2%
    November
    1.3%
    2.8%
    December
    1.0%
    1.0%
  • 11.0%
    -5.0%
    January
    1.4%
    5.5%
    February
    -0.9%
    -3.7%
    March
    3.7%
    -2.6%
    April
    3.3%
    0.4%
    May
    2.2%
    2.2%
    June
    1.8%
    0.5%
    July
    1.9%
    3.6%
    August
    1.9%
    3.0%
    September
    1.4%
    0.5%
    October
    -3.6%
    -7.0%
    November
    3.1%
    1.9%
    December
    -5.3%
    -9.3%
  • 18.4%
    26.2%
    January
    3.8%
    7.7%
    February
    1.7%
    3.0%
    March
    1.9%
    1.8%
    April
    1.6%
    3.9%
    May
    2.7%
    -6.7%
    June
    2.4%
    6.7%
    July
    1.1%
    1.3%
    August
    0.2%
    -1.6%
    September
    2.4%
    1.7%
    October
    -3.6%
    2.1%
    November
    1.3%
    3.4%
    December
    1.6%
    2.8%
  • 46.0%
    21.1%
    January
    -2.6%
    -0.1%
    February
    -2.1%
    -8.5%
    March
    18.0%
    -9.7%
    April
    8.6%
    12.7%
    May
    0.1%
    4.6%
    June
    2.7%
    2.2%
    July
    4.0%
    5.4%
    August
    2.7%
    6.8%
    September
    3.8%
    -3.8%
    October
    -2.5%
    -2.6%
    November
    4.6%
    10.3%
    December
    2.9%
    3.7%
  • 23.2%
    24.7%
    January
    1.7%
    -1.0%
    February
    2.9%
    2.7%
    March
    4.0%
    4.3%
    April
    2.0%
    5.2%
    May
    -2.1%
    0.6%
    June
    2.0%
    2.2%
    July
    -0.9%
    2.3%
    August
    1.9%
    2.9%
    September
    2.1%
    -4.8%
    October
    2.8%
    6.8%
    November
    1.5%
    -0.8%
    December
    3.4%
    4.4%
  • 1.4%
    -18.7%
    January
    -3.9%
    -5.3%
    February
    3.9%
    -3.0%
    March
    5.0%
    3.8%
    April
    -10.2%
    -9.0%
    May
    3.4%
    0.4%
    June
    -6.7%
    -8.4%
    July
    4.8%
    8.9%
    August
    -2.0%
    -4.2%
    September
    1.0%
    -9.6%
    October
    4.9%
    8.0%
    November
    3.8%
    5.5%
    December
    -1.3%
    -5.9%
  • 19.4%
    22.6%
    January
    1.3%
    6.1%
    February
    3.0%
    -2.6%
    March
    1.7%
    3.6%
    April
    0.4%
    1.5%
    May
    2.4%
    0.3%
    June
    1.9%
    6.3%
    July
    1.5%
    3.1%
    August
    2.2%
    -1.7%
    September
    -2.0%
    -4.9%
    October
    1.9%
    -2.1%
    November
    2.1%
    8.6%
    December
    1.6%
    4.4%
  • 7.7%
    21.8%
    January
    1.3%
    1.6%
    February
    2.1%
    5.1%
    March
    0.3%
    3.1%
    April
    1.5%
    -4.2%
    May
    2.8%
    4.7%
    June
    1.5%
    3.4%
    July
    -3.3%
    1.2%
    August
    -1.2%
    2.4%
    September
    2.6%
    2.1%
    October
    0.6%
    -0.9%
    November
    2.5%
    5.6%
    December
    -2.9%
    -2.5%
  • 9.7%
    17.2%
    January
    -0.6%
    2.7%
    February
    2.4%
    -1.4%
    March
    -1.2%
    -5.8%
    April
    -6.2%
    0.2%
    May
    3.7%
    6.1%
    June
    2.7%
    4.9%
    July
    1.4%
    2.2%
    August
    0.1%
    2.0%
    September
    1.8%
    3.5%
    October
    2.4%
    2.3%
    November
    2.7%
    0.2%
    December
    0.5%
    0.3%
Monthly Returns
December 2025
S
M
T
W
T
F
Total

  1. $1,200.00

  1. $2,454.00

  1. $2,046.00

  1. $1,938.00

  1. $1,890.00

  1. $9,528.00

Performance by Position
Performance Per Contract Trades Wins Losses Win % Premium Collected Premium Retained
Avg Entry
Avg Exit
Avg Profit
 Profit Factor
Total Profit
5.5D put 74% PT 2627 2578 49 98.1% $4,823,736 $1,593,725 (33%) $1.42 $0.94 $0.48 1.71 $1,261.22
Backtest Total 2627 2578 49 98.1% $4,823,736 $1,593,725 (33%) $1.42 $0.94 $0.48 1.71 $1,261.22
Trade Log
Position Timing Result
5.5D put 74% PT
-9 Fri Sep 2nd 2130p
Thu Sep 1st 2016
9:34:10 AM EDT | $0.64 credit
Fri Sep 2nd 2016
9:31:50 AM EDT | $0.17 debit
Profit Target
$405 | 70.31%
$500,405 balance
5.5D put 74% PT
-9 Tue Sep 6th 2145p
Fri Sep 2nd 2016
9:34:10 AM EDT | $0.49 credit
Tue Sep 6th 2016
9:31:50 AM EDT | $0.13 debit
Profit Target
$315 | 71.43%
$500,720 balance
5.5D put 74% PT
-9 Wed Sep 7th 2145p
Tue Sep 6th 2016
9:34:10 AM EDT | $0.47 credit
Wed Sep 7th 2016
9:31:50 AM EDT | $0.12 debit
Profit Target
$306 | 72.34%
$501,026 balance
5.5D put 74% PT
-9 Fri Sep 9th 2140p
Wed Sep 7th 2016
9:34:10 AM EDT | $0.64 credit
Fri Sep 9th 2016
4:00:00 PM EDT | $11.99 debit
Assigned
-$10,224 | -1775.00%
$490,802 balance
5.5D put 74% PT
-10 Mon Sep 12th 2065p
Fri Sep 9th 2016
3:50:10 PM EDT | $1.01 credit
Mon Sep 12th 2016
9:54:20 AM EDT | $0.26 debit
Profit Target
$730 | 72.28%
$491,532 balance
5.5D put 74% PT
-10 Wed Sep 14th 2040p
Mon Sep 12th 2016
9:55:30 AM EDT | $1.38 credit
Mon Sep 12th 2016
2:00:40 PM EDT | $0.36 debit
Profit Target
$1,000 | 72.46%
$492,532 balance
5.5D put 74% PT
-9 Wed Sep 14th 2095p
Mon Sep 12th 2016
2:01:50 PM EDT | $0.85 credit
Wed Sep 14th 2016
10:13:50 AM EDT | $0.22 debit
Profit Target
$549 | 71.76%
$493,081 balance
5.5D put 74% PT
-10 Mon Sep 19th 2055p
Thu Sep 15th 2016
9:34:10 AM EDT | $1.08 credit
Thu Sep 15th 2016
2:17:20 PM EDT | $0.28 debit
Profit Target
$780 | 72.22%
$493,861 balance
5.5D put 74% PT
-9 Mon Sep 19th 2090p
Thu Sep 15th 2016
2:18:30 PM EDT | $0.79 credit
Fri Sep 16th 2016
3:32:00 PM EDT | $0.21 debit
Profit Target
$504 | 70.89%
$494,365 balance
5.5D put 74% PT
-9 Mon Sep 19th 2105p
Fri Sep 16th 2016
3:33:10 PM EDT | $0.49 credit
Mon Sep 19th 2016
9:31:50 AM EDT | $0.13 debit
Profit Target
$315 | 71.43%
$494,680 balance
5.5D put 74% PT
-9 Wed Sep 21st 2085p
Mon Sep 19th 2016
9:34:10 AM EDT | $0.77 credit
Wed Sep 21st 2016
9:51:50 AM EDT | $0.20 debit
Profit Target
$495 | 71.43%
$495,175 balance
5.5D put 74% PT
-10 Fri Sep 23rd 2075p
Wed Sep 21st 2016
9:53:00 AM EDT | $1.01 credit
Wed Sep 21st 2016
3:21:20 PM EDT | $0.26 debit
Profit Target
$730 | 72.28%
$495,905 balance
5.5D put 74% PT
-9 Fri Sep 23rd 2105p
Wed Sep 21st 2016
3:22:30 PM EDT | $0.76 credit
Thu Sep 22nd 2016
9:30:50 AM EDT | $0.15 debit
Profit Target
$531 | 77.63%
$496,436 balance
5.5D put 74% PT
-9 Fri Sep 23rd 2140p
Thu Sep 22nd 2016
9:34:10 AM EDT | $0.44 credit
Fri Sep 23rd 2016
9:31:50 AM EDT | $0.11 debit
Profit Target
$279 | 70.45%
$496,715 balance
5.5D put 74% PT
-9 Mon Sep 26th 2135p
Fri Sep 23rd 2016
9:34:10 AM EDT | $0.54 credit
Mon Sep 26th 2016
3:07:40 PM EDT | $0.14 debit
Profit Target
$342 | 70.37%
$497,057 balance
5.5D put 74% PT
-10 Wed Sep 28th 2085p
Mon Sep 26th 2016
3:08:50 PM EDT | $0.82 credit
Tue Sep 27th 2016
9:55:30 AM EDT | $0.21 debit
Profit Target
$590 | 71.95%
$497,647 balance
5.5D put 74% PT
-9 Wed Sep 28th 2110p
Tue Sep 27th 2016
9:56:40 AM EDT | $0.69 credit
Wed Sep 28th 2016
9:31:50 AM EDT | $0.18 debit
Profit Target
$450 | 72.46%
$498,097 balance
5.5D put 74% PT
-9 Fri Sep 30th 2115p
Wed Sep 28th 2016
9:34:10 AM EDT | $0.66 credit
Fri Sep 30th 2016
9:31:00 AM EDT | $0.16 debit
Profit Target
$432 | 72.73%
$498,529 balance
5.5D put 74% PT
-9 Mon Oct 3rd 2115p
Fri Sep 30th 2016
9:34:10 AM EDT | $0.76 credit
Mon Oct 3rd 2016
9:31:50 AM EDT | $0.20 debit
Profit Target
$495 | 72.37%
$499,024 balance
5.5D put 74% PT
-9 Wed Oct 5th 2105p
Mon Oct 3rd 2016
9:34:10 AM EDT | $0.71 credit
Tue Oct 4th 2016
9:30:50 AM EDT | $0.13 debit
Profit Target
$504 | 78.87%
$499,528 balance