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Backtest - WO Classic Calls

End Balance
$663,237
4.5% CAGR
Drawdown
-$35,197
-5.3%
Sortino
0.42
0.52 Sharpe
Benchmark Comparison
Total Return CAGR Drawdown MAR Sharpe Sortino Annualized Vol. Correlation Beta
Backtest 32.6% 4.5% -5.3% 0.84 0.52 0.42 3.4
SPX 87.5% 10.3% -0%
Return %
Drawdown
Backtest Positions
Position
Entry Exit
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

Confirm removal of from this backtest.

Detailed Stats
Start Date
September 1, 2016
End Date
January 27, 2023
Start Balance
$500,000
End Balance
$663,237
Broker Fees
$13,033
Return %
32.6%
Return $
$163,237
CAGR
4.5%
Drawdown %
-5.3%
Drawdown $
-$35,197
Drawdown Days
171 days
Sortino
0.42
Sharpe
0.52
MAR
0.84
Annual Vol.
3.4%
Correlation
Beta
Trades
4034
Winners
3986 (98.8%)
Losers
48
Avg Gain
$40
Avg Winner
$70
Avg Loser
-$2,391
Premium Collected $
$356,168
Premium Retained $
$176,270
Premium Retained %
49.5%
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.
Balance
Positions
Monthly Performance
Weekly Performance
Daily Performance
Day of Week Performance
Yearly Results
  • Year

    Backtest

    SPX

  • 2016
    0.3%
    3.3%
    September
    0.3%
    -0.1%
    October
    0.2%
    -1.9%
    November
    0.3%
    3.4%
    December
    -0.5%
    1.8%
  • 2017
    1.8%
    18.0%
    January
    -0.4%
    1.8%
    February
    0.2%
    3.7%
    March
    0.3%
    0.0%
    April
    0.3%
    0.9%
    May
    0.2%
    1.2%
    June
    0.2%
    0.5%
    July
    0.2%
    1.9%
    August
    0.2%
    0.1%
    September
    0.2%
    1.9%
    October
    0.1%
    2.2%
    November
    0.1%
    2.8%
    December
    0.2%
    1.1%
  • 2018
    4.7%
    -5.1%
    January
    0.1%
    5.5%
    February
    -0.1%
    -3.7%
    March
    0.4%
    -2.5%
    April
    0.6%
    0.4%
    May
    0.4%
    2.2%
    June
    0.3%
    0.5%
    July
    0.3%
    3.6%
    August
    0.2%
    3.0%
    September
    0.3%
    0.5%
    October
    0.7%
    -7.0%
    November
    0.5%
    1.9%
    December
    0.9%
    -9.3%
  • 2019
    4.7%
    26.2%
    January
    0.7%
    7.7%
    February
    0.3%
    3.0%
    March
    0.3%
    1.8%
    April
    0.3%
    3.9%
    May
    0.5%
    -6.7%
    June
    0.2%
    6.7%
    July
    0.3%
    1.4%
    August
    0.7%
    -1.6%
    September
    0.4%
    1.8%
    October
    0.4%
    2.1%
    November
    0.2%
    3.4%
    December
    0.3%
    2.8%
  • 2020
    7.8%
    21.0%
    January
    0.3%
    -0.1%
    February
    0.1%
    -8.5%
    March
    2.3%
    -9.7%
    April
    1.3%
    12.6%
    May
    -1.2%
    4.7%
    June
    1.0%
    2.2%
    July
    0.8%
    5.5%
    August
    0.4%
    6.8%
    September
    0.3%
    -3.8%
    October
    1.0%
    -2.6%
    November
    0.7%
    10.3%
    December
    0.6%
    3.7%
  • 2021
    6.0%
    24.7%
    January
    0.4%
    -1.0%
    February
    0.6%
    2.7%
    March
    0.7%
    4.3%
    April
    0.4%
    5.1%
    May
    0.4%
    0.6%
    June
    0.4%
    2.2%
    July
    0.4%
    2.3%
    August
    0.4%
    2.9%
    September
    0.5%
    -4.8%
    October
    0.4%
    6.8%
    November
    0.5%
    -0.8%
    December
    0.6%
    4.4%
  • 2022
    3.7%
    -18.7%
    January
    0.9%
    -5.3%
    February
    -3.9%
    -3.0%
    March
    0.8%
    3.8%
    April
    1.2%
    -9.0%
    May
    1.9%
    0.4%
    June
    -1.0%
    -8.4%
    July
    0.5%
    8.9%
    August
    1.2%
    -4.2%
    September
    1.8%
    -9.5%
    October
    -1.7%
    8.0%
    November
    1.0%
    5.5%
    December
    1.2%
    -5.9%
  • 2023
    0.0%
    5.9%
    January
    0.0%
    5.9%
Trade Log
Position Timing Result
3D call 83% PT
-3 Fri Sep 2nd 2200c
Thu Sep 1st 2016
9:31 AM EDT | $0.19 credit
Fri Sep 2nd 2016
11:14 AM EDT | $0.05 debit
Profit Target
$39 | 68.42%
$500,039 balance
2D call 78% PT
-3 Fri Sep 2nd 2205c
Thu Sep 1st 2016
9:31 AM EDT | $0.09 credit
Fri Sep 2nd 2016
4:00 PM EDT |
Expired
$24 | 88.89%
$500,063 balance
2.5D call 80% PT
-3 Fri Sep 2nd 2205c
Thu Sep 1st 2016
9:31 AM EDT | $0.09 credit
Fri Sep 2nd 2016
4:00 PM EDT |
Expired
$24 | 88.89%
$500,087 balance
3D call 83% PT
-3 Tue Sep 6th 2205c
Fri Sep 2nd 2016
11:15 AM EDT | $0.14 credit
Tue Sep 6th 2016
4:00 PM EDT |
Expired
$39 | 92.86%
$500,126 balance
2.5D call 80% PT
-3 Wed Sep 7th 2210c
Tue Sep 6th 2016
9:31 AM EDT | $0.09 credit
Wed Sep 7th 2016
4:00 PM EDT |
Expired
$24 | 88.89%
$500,174 balance
2D call 78% PT
-3 Wed Sep 7th 2210c
Tue Sep 6th 2016
9:31 AM EDT | $0.09 credit
Wed Sep 7th 2016
4:00 PM EDT |
Expired
$24 | 88.89%
$500,150 balance
3D call 83% PT
-3 Fri Sep 9th 2215c
Wed Sep 7th 2016
9:31 AM EDT | $0.14 credit
Fri Sep 9th 2016
4:00 PM EDT |
Expired
$39 | 92.86%
$500,213 balance
2.5D call 80% PT
-3 Fri Sep 9th 2205c
Thu Sep 8th 2016
9:31 AM EDT | $0.10 credit
Fri Sep 9th 2016
4:00 PM EDT |
Expired
$27 | 90.00%
$500,258 balance
2D call 78% PT
-3 Fri Sep 9th 2210c
Thu Sep 8th 2016
9:31 AM EDT | $0.07 credit
Fri Sep 9th 2016
4:00 PM EDT |
Expired
$18 | 85.71%
$500,231 balance
2D call 78% PT
-3 Wed Sep 14th 2190c
Mon Sep 12th 2016
9:31 AM EDT | $0.17 credit
Tue Sep 13th 2016
10:51 AM EDT | $0.05 debit
Profit Target
$33 | 64.71%
$500,291 balance
2.5D call 80% PT
-3 Wed Sep 14th 2185c
Mon Sep 12th 2016
9:31 AM EDT | $0.23 credit
Tue Sep 13th 2016
12:31 PM EDT | $0.05 debit
Profit Target
$51 | 73.91%
$500,342 balance
3D call 83% PT
-3 Wed Sep 14th 2180c
Mon Sep 12th 2016
9:31 AM EDT | $0.34 credit
Tue Sep 13th 2016
3:07 PM EDT | $0.05 debit
Profit Target
$84 | 82.35%
$500,426 balance
2D call 78% PT
-3 Wed Sep 14th 2180c
Tue Sep 13th 2016
10:52 AM EDT | $0.14 credit
Tue Sep 13th 2016
3:07 PM EDT | $0.05 debit
Profit Target
$24 | 57.14%
$500,450 balance
2.5D call 80% PT
-3 Wed Sep 14th 2170c
Tue Sep 13th 2016
12:32 PM EDT | $0.19 credit
Wed Sep 14th 2016
9:32 AM EDT | $0.05 debit
Profit Target
$39 | 68.42%
$500,489 balance
2D call 78% PT
-3 Mon Sep 19th 2220c
Thu Sep 15th 2016
9:31 AM EDT | $0.28 credit
Thu Sep 15th 2016
9:39 AM EDT | $0.05 debit
Profit Target
$66 | 78.57%
$500,555 balance
2.5D call 80% PT
-3 Mon Sep 19th 2180c
Thu Sep 15th 2016
9:31 AM EDT | $0.24 credit
Fri Sep 16th 2016
11:10 AM EDT | $0.05 debit
Profit Target
$54 | 75.00%
$500,663 balance
3D call 83% PT
-3 Mon Sep 19th 2180c
Thu Sep 15th 2016
9:31 AM EDT | $0.24 credit
Fri Sep 16th 2016
11:10 AM EDT | $0.05 debit
Profit Target
$54 | 75.00%
$500,609 balance
2D call 78% PT
-3 Mon Sep 19th 2180c
Thu Sep 15th 2016
9:40 AM EDT | $0.19 credit
Fri Sep 16th 2016
11:10 AM EDT | $0.05 debit
Profit Target
$39 | 68.42%
$500,702 balance
2.5D call 80% PT
-3 Mon Sep 19th 2170c
Fri Sep 16th 2016
11:11 AM EDT | $0.15 credit
Fri Sep 16th 2016
3:11 PM EDT | $0.05 debit
Profit Target
$27 | 60.00%
$500,729 balance
2D call 78% PT
-3 Mon Sep 19th 2170c
Fri Sep 16th 2016
11:11 AM EDT | $0.15 credit
Fri Sep 16th 2016
3:11 PM EDT | $0.05 debit
Profit Target
$27 | 60.00%
$500,756 balance