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Backtest - 5d, 1dte, no SL, put spread

End Balance
$163,070 2.5% CAGR
Drawdown
-$38,316 -22.7%
Sortino
0.02 0.04 Sharpe
MAR 0.11
Profit Factor 1.13
Trades 2651
Win Rate 97.3%
Best Mo 5.4% Worst Mo -12.7%
Positive Mos 70%
Benchmark Comparison
Total Return CAGR Drawdown MAR Sharpe Sortino Ulcer Index Profit Factor Annualized Vol. Correlation Beta
Backtest 30.5% 2.5% -22.7% 0.11 0.04 0.02 1.13 10% 0.38 0.20
SPX 279.5% 13.1% -33.9% 0.39 0.64 0.79 18%
Return %
Drawdown
Backtest Positions
Position Entry Exit
5d, 1dte, SPX 50p spread
SPXW Put Credit Spread
2x contracts
$1.00 fee per contract
Dynamic fill model
Daily
After 3:50 PM EST
Before 3:59 PM EST
1 DTE (1 min - 4 max)
-0.05 PUT Δ (4.0 min - 6.0 max)
Put spread 50 wide
Detailed Stats
Start Date
January 1, 2016
End Date
October 21, 2026
Start Balance
$125,000
End Balance
$163,070
Total Fees
$10,612
Slippage vs Mid
$15,526
Return %
30.5%
Return $
$38,070
CAGR
2.5%
Drawdown %
-22.7%
Drawdown $
-$38,316
Drawdown Days
827 days
Ulcer Index
N/A
Sortino
0.02
Sharpe
0.04
MAR
0.11
Annual Vol.
9.5%
Correlation
0.38
Beta
0.20
Trades
2651
Winners
2580 (97.3%)
Losers
71
Avg Gain
$14
Avg Winner
$124
Avg Loser
-$3,978
Premium Collected $
$340,714
Premium Retained $
$48,682
Premium Retained %
14.3%
Regime Attribution
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
P/L by GEX Regime
P/L by Total GEX
Fill Quality
Spread Size and Slippage vs Mid
How Exits Were Priced
Drawdown Anatomy
Drawdown Episodes
Top 5 Drawdowns
Yearly Results

  • Year

    Backtest

    SPX

  • 1.5%
    10.0%
    January
    -2.4%
    -5.0%
    February
    1.3%
    -0.3%
    March
    1.0%
    6.5%
    April
    0.8%
    0.3%
    May
    0.8%
    1.6%
    June
    1.0%
    0.2%
    July
    0.7%
    3.5%
    August
    0.9%
    -0.1%
    September
    -5.5%
    0.0%
    October
    1.1%
    -1.9%
    November
    1.3%
    3.4%
    December
    0.8%
    1.8%
  • 7.4%
    18.0%
    January
    0.7%
    1.8%
    February
    0.5%
    3.7%
    March
    0.9%
    0.0%
    April
    0.9%
    0.9%
    May
    -1.6%
    1.2%
    June
    0.9%
    0.5%
    July
    0.7%
    2.0%
    August
    1.1%
    0.1%
    September
    0.8%
    1.9%
    October
    0.8%
    2.2%
    November
    0.8%
    2.8%
    December
    0.8%
    1.0%
  • -11.3%
    -5.0%
    January
    0.9%
    5.5%
    February
    -2.2%
    -3.7%
    March
    -4.4%
    -2.6%
    April
    1.5%
    0.4%
    May
    1.5%
    2.2%
    June
    1.3%
    0.5%
    July
    1.2%
    3.6%
    August
    1.1%
    3.0%
    September
    0.9%
    0.5%
    October
    -12.7%
    -7.0%
    November
    2.5%
    1.9%
    December
    -2.5%
    -9.3%
  • 10.3%
    26.2%
    January
    2.3%
    7.7%
    February
    1.3%
    3.0%
    March
    0.2%
    1.8%
    April
    1.2%
    3.9%
    May
    2.2%
    -6.7%
    June
    1.6%
    6.7%
    July
    1.2%
    1.3%
    August
    -3.1%
    -1.6%
    September
    1.5%
    1.7%
    October
    -0.6%
    2.1%
    November
    1.0%
    3.4%
    December
    1.2%
    2.8%
  • 7.6%
    21.1%
    January
    1.5%
    -0.1%
    February
    -4.0%
    -8.5%
    March
    5.4%
    -9.7%
    April
    3.7%
    12.7%
    May
    1.2%
    4.6%
    June
    -2.6%
    2.2%
    July
    2.6%
    5.4%
    August
    1.7%
    6.8%
    September
    -2.2%
    -3.8%
    October
    -3.0%
    -2.6%
    November
    1.9%
    10.3%
    December
    1.6%
    3.7%
  • 10.4%
    24.7%
    January
    -1.7%
    -1.0%
    February
    1.7%
    2.7%
    March
    2.6%
    4.3%
    April
    1.7%
    5.2%
    May
    -0.1%
    0.6%
    June
    1.3%
    2.2%
    July
    1.5%
    2.3%
    August
    1.3%
    2.9%
    September
    1.3%
    -4.8%
    October
    1.7%
    6.8%
    November
    -3.3%
    -0.8%
    December
    2.0%
    4.4%
  • -7.3%
    -18.7%
    January
    -3.1%
    -5.3%
    February
    -0.2%
    -3.0%
    March
    3.0%
    3.8%
    April
    -7.4%
    -9.0%
    May
    -2.1%
    0.4%
    June
    -1.7%
    -8.4%
    July
    2.5%
    8.9%
    August
    -1.0%
    -4.2%
    September
    -3.8%
    -9.6%
    October
    3.0%
    8.0%
    November
    2.2%
    5.5%
    December
    1.6%
    -5.9%
  • 9.1%
    22.6%
    January
    2.1%
    6.1%
    February
    1.9%
    -2.6%
    March
    1.6%
    3.6%
    April
    -1.0%
    1.5%
    May
    1.4%
    0.3%
    June
    1.2%
    6.3%
    July
    1.0%
    3.1%
    August
    -0.6%
    -1.7%
    September
    -0.7%
    -4.9%
    October
    1.8%
    -2.1%
    November
    1.2%
    8.6%
    December
    -1.0%
    4.4%
  • -5.0%
    21.8%
    January
    0.7%
    1.6%
    February
    1.0%
    5.1%
    March
    1.2%
    3.1%
    April
    -1.2%
    -4.2%
    May
    1.8%
    4.7%
    June
    1.2%
    3.4%
    July
    -5.9%
    1.2%
    August
    2.3%
    2.4%
    September
    -2.1%
    2.1%
    October
    -0.8%
    -0.9%
    November
    1.8%
    5.6%
    December
    -4.9%
    -2.5%
  • -3.4%
    16.9%
    January
    -0.2%
    2.7%
    February
    -0.1%
    -1.4%
    March
    -1.1%
    -5.8%
    April
    -9.9%
    0.2%
    May
    3.2%
    6.1%
    June
    2.3%
    4.9%
    July
    1.9%
    2.2%
    August
    1.8%
    2.0%
    September
    1.6%
    3.5%
    October
    -4.7%
    2.3%
    November
    0.6%
    0.2%
    December
    2.0%
    0.0%
  • 10.9%
    13.2%
    January
    -3.7%
    1.4%
    February
    2.3%
    -0.8%
    March
    3.1%
    -5.1%
    April
    2.9%
    10.0%
    May
    2.2%
    5.1%
    June
    -4.0%
    -1.0%
    July
    2.7%
    -0.1%
    August
    2.1%
    2.6%
    September
    1.9%
    -0.4%
    October
    1.4%
    1.4%
Monthly Returns
October 2026
S
M
T
W
T
F
Total

  1. $216.00

  1. $167.00

ADP+1

  1. $116.00

ISM Mfg

  1. $148.00

NFP

  1. $304.00

  1. $951.00

ISM Svc

  1. $168.00

  1. $135.00

Minutes

  1. $118.00

  1. $170.00

  1. $135.00

  1. $726.00

  1. $115.00

  1. $110.00

CPI

  1. $195.00

PPI

  1. $179.00

OpEx

  1. $123.00

  1. $722.00

  1. $44.00

  1. $167.00

  1. $151.00

  1. $362.00

FOMC

GDP+1

Performance by Position
Performance Per Contract Trades Wins Losses Win % Premium Collected Premium Retained
Avg Entry
Avg Exit
Avg Profit
 Profit Factor
Total Profit
5d, 1dte, SPX 50p spread 2651 2580 71 97.3% $340,714 $48,682 (14%) $0.643 $0.551 $0.092 1.13 $243.36
Backtest Total 2651 2580 71 97.3% $340,714 $48,682 (14%) $0.643 $0.551 $0.092 1.13 $243.36
Trade Log
Updating…
1-20 of 2,651 trades
Position Timing Result
5d, 1dte, SPX 50p spread
-2 Fri Jan 8th 1910p
+2 Fri Jan 8th 1860p
Mon Jan 4th 2016
3:50:10 PM EST | $0.87 credit
Fri Jan 8th 2016
4:00:00 PM EST |
Expired
$170 | 97.70%
$125,170 balance
5d, 1dte, SPX 50p spread
-2 Fri Jan 8th 1940p
+2 Fri Jan 8th 1890p
Tue Jan 5th 2016
3:50:10 PM EST | $0.71 credit
Fri Jan 8th 2016
4:00:00 PM EST | $18.97 debit
Assigned
-$3,656 | -2574.65%
$121,514 balance
5d, 1dte, SPX 50p spread
-2 Fri Jan 8th 1925p
+2 Fri Jan 8th 1880p
Wed Jan 6th 2016
3:50:10 PM EST | $0.66 credit
Fri Jan 8th 2016
4:00:00 PM EST | $3.97 debit
Assigned
-$666 | -504.55%
$120,848 balance
5d, 1dte, SPX 50p spread
-2 Fri Jan 8th 1880p
+2 Fri Jan 8th 1830p
Thu Jan 7th 2016
3:50:10 PM EST | $0.60 credit
Fri Jan 8th 2016
4:00:00 PM EST |
Expired
$116 | 96.67%
$120,964 balance
5d, 1dte, SPX 50p spread
-2 Fri Jan 22nd 1775p
+2 Fri Jan 22nd 1725p
Tue Jan 19th 2016
3:50:10 PM EST | $0.85 credit
Fri Jan 22nd 2016
4:00:00 PM EST |
Expired
$166 | 97.65%
$121,130 balance
5d, 1dte, SPX 50p spread
-2 Fri Jan 22nd 1750p
+2 Fri Jan 22nd 1700p
Wed Jan 20th 2016
3:50:10 PM EST | $0.82 credit
Fri Jan 22nd 2016
4:00:00 PM EST |
Expired
$160 | 97.56%
$121,290 balance
5d, 1dte, SPX 50p spread
-2 Fri Jan 22nd 1805p
+2 Fri Jan 22nd 1760p
Thu Jan 21st 2016
3:50:10 PM EST | $0.65 credit
Fri Jan 22nd 2016
4:00:00 PM EST |
Expired
$126 | 96.92%
$121,416 balance
5d, 1dte, SPX 50p spread
-2 Fri Jan 29th 1780p
+2 Fri Jan 29th 1730p
Mon Jan 25th 2016
3:50:10 PM EST | $0.97 credit
Fri Jan 29th 2016
4:00:00 PM EST |
Expired
$190 | 97.94%
$121,606 balance
5d, 1dte, SPX 50p spread
-2 Fri Jan 29th 1815p
+2 Fri Jan 29th 1765p
Tue Jan 26th 2016
3:50:10 PM EST | $0.95 credit
Fri Jan 29th 2016
4:00:00 PM EST |
Expired
$186 | 97.89%
$121,792 balance
5d, 1dte, SPX 50p spread
-2 Fri Jan 29th 1805p
+2 Fri Jan 29th 1755p
Wed Jan 27th 2016
3:50:10 PM EST | $0.77 credit
Fri Jan 29th 2016
4:00:00 PM EST |
Expired
$150 | 97.40%
$121,942 balance
5d, 1dte, SPX 50p spread
-2 Fri Jan 29th 1840p
+2 Fri Jan 29th 1790p
Thu Jan 28th 2016
3:50:10 PM EST | $0.54 credit
Fri Jan 29th 2016
4:00:00 PM EST |
Expired
$104 | 96.30%
$122,046 balance
5d, 1dte, SPX 50p spread
-2 Fri Feb 5th 1860p
+2 Fri Feb 5th 1810p
Mon Feb 1st 2016
3:50:10 PM EST | $0.89 credit
Fri Feb 5th 2016
4:00:00 PM EST |
Expired
$174 | 97.75%
$122,220 balance
5d, 1dte, SPX 50p spread
-2 Fri Feb 5th 1825p
+2 Fri Feb 5th 1780p
Tue Feb 2nd 2016
3:50:10 PM EST | $0.82 credit
Fri Feb 5th 2016
4:00:00 PM EST |
Expired
$160 | 97.56%
$122,380 balance
5d, 1dte, SPX 50p spread
-2 Fri Feb 5th 1835p
+2 Fri Feb 5th 1785p
Wed Feb 3rd 2016
3:50:10 PM EST | $0.77 credit
Fri Feb 5th 2016
4:00:00 PM EST |
Expired
$150 | 97.40%
$122,530 balance
5d, 1dte, SPX 50p spread
-2 Fri Feb 5th 1860p
+2 Fri Feb 5th 1810p
Thu Feb 4th 2016
3:50:10 PM EST | $0.55 credit
Fri Feb 5th 2016
4:00:00 PM EST |
Expired
$106 | 96.36%
$122,636 balance
5d, 1dte, SPX 50p spread
-2 Fri Feb 12th 1750p
+2 Fri Feb 12th 1700p
Mon Feb 8th 2016
3:50:10 PM EST | $0.89 credit
Fri Feb 12th 2016
4:00:00 PM EST |
Expired
$174 | 97.75%
$122,810 balance
5d, 1dte, SPX 50p spread
-2 Fri Feb 12th 1755p
+2 Fri Feb 12th 1705p
Tue Feb 9th 2016
3:50:10 PM EST | $0.92 credit
Fri Feb 12th 2016
4:00:00 PM EST |
Expired
$180 | 97.83%
$122,990 balance
5d, 1dte, SPX 50p spread
-2 Fri Feb 12th 1775p
+2 Fri Feb 12th 1725p
Wed Feb 10th 2016
3:50:10 PM EST | $0.82 credit
Fri Feb 12th 2016
4:00:00 PM EST |
Expired
$160 | 97.56%
$123,150 balance
5d, 1dte, SPX 50p spread
-2 Fri Feb 12th 1775p
+2 Fri Feb 12th 1725p
Thu Feb 11th 2016
3:50:10 PM EST | $0.52 credit
Fri Feb 12th 2016
4:00:00 PM EST |
Expired
$100 | 96.15%
$123,250 balance
5d, 1dte, SPX 50p spread
-2 Fri Feb 26th 1870p
+2 Fri Feb 26th 1820p
Mon Feb 22nd 2016
3:50:10 PM EST | $0.64 credit
Fri Feb 26th 2016
4:00:00 PM EST |
Expired
$124 | 96.88%
$123,374 balance
Methodology
Total Return (Ending Balance - Starting Balance) / Starting Balance. The SPX row of the Benchmark Comparison holds SPX itself from the backtest's first day to its last.
CAGR Total Return restated as a yearly rate: the return that, compounded once a year, grows the starting balance to the ending balance over the backtest's dates.
Drawdown The largest percentage drop in the account balance from a peak to a later low, measured on daily balances.
MAR CAGR / Drawdown
Sharpe The average daily return above the risk-free rate, divided by the standard deviation of daily returns, annualized. The risk-free rate is the one-year Treasury rate, averaged between the backtest's first and last days.
Sortino Sharpe with only the downside counted: the same excess return, divided by the standard deviation of the days that returned less than the risk-free rate.
Sharpe Pill The Sharpe beside the Sortino at the top of the page is green at 1 or above and red under 0.3. It takes no color below 20 trades, too few to judge, or when the run has no Sharpe.
Ulcer Index The square root of the average squared daily drawdown, each day's drawdown being the percentage the balance sits below its highest point so far, or zero at a new high. It grows with both how deep and how long drawdowns run, so lower is better.
Profit Factor (total profit from winning trades) / (total loss from losing trades)
Annualized Vol. The standard deviation of daily returns, annualized: how widely the balance swings from one day to the next.
Correlation Daily percentage returns for the backtest compared to daily percentage returns for SPX, indicating how closely the two move together, with possible values between -1 and 1.
Beta Correlation × (backtest daily volatility / SPX daily volatility): roughly how far the balance moves, in percent, for each 1% move in SPX.