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Backtest - 5d, 1dte, 10x SL, naked put

End Balance
$377,942 10.8% CAGR
Drawdown
-$27,049 -13.9%
Sortino
0.66 1.42 Sharpe
MAR 0.77
Profit Factor 1.82
Trades 2651
Win Rate 95.4%
Best Mo 9.6% Worst Mo -10.7%
Positive Mos 81%
Benchmark Comparison
Total Return CAGR Drawdown MAR Sharpe Sortino Ulcer Index Profit Factor Annualized Vol. Correlation Beta
Backtest 202.4% 10.8% -13.9% 0.77 1.42 0.66 1.82 6% 0.44 0.14
SPX 279.5% 13.1% -33.9% 0.39 0.64 0.79 18%
Return %
Drawdown
Backtest Positions
Position Entry Exit
5d, 1dte, SPX, 1000% SL
SPXW Short Put
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)
1000% stop loss
Normal stop sensitivity
Detailed Stats
Start Date
January 1, 2016
End Date
October 21, 2026
Start Balance
$125,000
End Balance
$377,942
Total Fees
$5,524
Slippage vs Mid
$7,926
Return %
202.4%
Return $
$252,942
CAGR
10.8%
Drawdown %
-13.9%
Drawdown $
-$27,049
Drawdown Days
378 days
Ulcer Index
N/A
Sortino
0.66
Sharpe
1.42
MAR
0.77
Annual Vol.
5.5%
Correlation
0.44
Beta
0.14
Trades
2651
Winners
2529 (95.4%)
Losers
122
Avg Gain
$95
Avg Winner
$223
Avg Loser
-$2,541
Premium Collected $
$595,606
Premium Retained $
$258,466
Premium Retained %
43.4%
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

  • 11.8%
    10.0%
    January
    -0.2%
    -5.0%
    February
    -0.3%
    -0.3%
    March
    1.3%
    6.5%
    April
    1.1%
    0.3%
    May
    1.1%
    1.6%
    June
    1.7%
    0.2%
    July
    0.9%
    3.5%
    August
    1.3%
    -0.1%
    September
    0.3%
    0.0%
    October
    0.8%
    -1.9%
    November
    1.9%
    3.4%
    December
    1.2%
    1.8%
  • 13.3%
    18.0%
    January
    1.1%
    1.8%
    February
    0.9%
    3.7%
    March
    1.6%
    0.0%
    April
    1.4%
    0.9%
    May
    0.5%
    1.2%
    June
    0.5%
    0.5%
    July
    1.0%
    2.0%
    August
    1.6%
    0.1%
    September
    1.2%
    1.9%
    October
    1.2%
    2.2%
    November
    1.2%
    2.8%
    December
    0.4%
    1.0%
  • 10.3%
    -5.0%
    January
    1.3%
    5.5%
    February
    -0.5%
    -3.7%
    March
    0.4%
    -2.6%
    April
    -0.3%
    0.4%
    May
    0.9%
    2.2%
    June
    0.8%
    0.5%
    July
    1.4%
    3.6%
    August
    1.6%
    3.0%
    September
    1.4%
    0.5%
    October
    -1.9%
    -7.0%
    November
    2.6%
    1.9%
    December
    2.3%
    -9.3%
  • 8.5%
    26.2%
    January
    2.1%
    7.7%
    February
    0.2%
    3.0%
    March
    0.2%
    1.8%
    April
    1.2%
    3.9%
    May
    -1.5%
    -6.7%
    June
    1.6%
    6.7%
    July
    1.3%
    1.3%
    August
    -1.1%
    -1.6%
    September
    1.7%
    1.7%
    October
    0.0%
    2.1%
    November
    1.1%
    3.4%
    December
    1.5%
    2.8%
  • 18.2%
    21.1%
    January
    1.2%
    -0.1%
    February
    -10.7%
    -8.5%
    March
    9.6%
    -9.7%
    April
    4.2%
    12.7%
    May
    1.0%
    4.6%
    June
    0.2%
    2.2%
    July
    2.8%
    5.4%
    August
    2.2%
    6.8%
    September
    1.6%
    -3.8%
    October
    0.6%
    -2.6%
    November
    3.0%
    10.3%
    December
    2.4%
    3.7%
  • 18.6%
    24.7%
    January
    1.6%
    -1.0%
    February
    0.5%
    2.7%
    March
    3.1%
    4.3%
    April
    1.7%
    5.2%
    May
    0.2%
    0.6%
    June
    1.9%
    2.2%
    July
    0.8%
    2.3%
    August
    1.8%
    2.9%
    September
    1.2%
    -4.8%
    October
    2.0%
    6.8%
    November
    -0.2%
    -0.8%
    December
    2.6%
    4.4%
  • 5.2%
    -18.7%
    January
    0.9%
    -5.3%
    February
    1.0%
    -3.0%
    March
    3.3%
    3.8%
    April
    -1.8%
    -9.0%
    May
    -0.2%
    0.4%
    June
    -1.5%
    -8.4%
    July
    1.9%
    8.9%
    August
    -0.3%
    -4.2%
    September
    -1.2%
    -9.6%
    October
    2.4%
    8.0%
    November
    1.1%
    5.5%
    December
    -0.4%
    -5.9%
  • 11.5%
    22.6%
    January
    1.5%
    6.1%
    February
    1.5%
    -2.6%
    March
    1.3%
    3.6%
    April
    0.3%
    1.5%
    May
    0.6%
    0.3%
    June
    1.1%
    6.3%
    July
    0.5%
    3.1%
    August
    0.8%
    -1.7%
    September
    0.1%
    -4.9%
    October
    1.6%
    -2.1%
    November
    1.0%
    8.6%
    December
    0.5%
    4.4%
  • 0.0%
    21.8%
    January
    0.7%
    1.6%
    February
    0.3%
    5.1%
    March
    0.5%
    3.1%
    April
    -1.7%
    -4.2%
    May
    1.3%
    4.7%
    June
    0.9%
    3.4%
    July
    0.0%
    1.2%
    August
    -3.5%
    2.4%
    September
    0.9%
    2.1%
    October
    0.0%
    -0.9%
    November
    1.6%
    5.6%
    December
    -0.8%
    -2.5%
  • 9.3%
    16.9%
    January
    -1.8%
    2.7%
    February
    0.9%
    -1.4%
    March
    -0.2%
    -5.8%
    April
    -0.6%
    0.2%
    May
    0.9%
    6.1%
    June
    1.9%
    4.9%
    July
    1.5%
    2.2%
    August
    1.7%
    2.0%
    September
    1.7%
    3.5%
    October
    1.1%
    2.3%
    November
    1.3%
    0.2%
    December
    0.5%
    0.0%
  • 11.2%
    13.2%
    January
    0.3%
    1.4%
    February
    0.9%
    -0.8%
    March
    1.8%
    -5.1%
    April
    2.4%
    10.0%
    May
    1.7%
    5.1%
    June
    -0.9%
    -1.0%
    July
    1.0%
    -0.1%
    August
    1.5%
    2.6%
    September
    1.6%
    -0.4%
    October
    0.4%
    1.4%
Monthly Returns
October 2026
S
M
T
W
T
F
Total

  1. $336.00

  1. $267.00

ADP+1

  1. $202.00

ISM Mfg

  1. $224.00

NFP

  1. $409.00

  1. $1,438.00

ISM Svc

  1. $255.00

  1. $227.00

Minutes

  1. $173.00

  1. $253.00

  1. $243.00

  1. $1,151.00

  1. $196.00

  1. $184.00

CPI

  1. -$2,444.00

PPI

  1. $369.00

OpEx

  1. $391.00

  1. -$1,304.00

  1. $447.00

  1. $324.00

  1. $246.00

  1. $1,017.00

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, 1000% SL 2651 2529 122 95.4% $595,606 $258,466 (43%) $1.123 $0.636 $0.487 1.82 $1,292.36
Backtest Total 2651 2529 122 95.4% $595,606 $258,466 (43%) $1.123 $0.636 $0.487 1.82 $1,292.36
Trade Log
Updating…
1-20 of 2,651 trades
Position Timing Result
5d, 1dte, SPX, 1000% SL
-2 Fri Jan 8th 1940p
Tue Jan 5th 2016
3:50:10 PM EST | $0.87 credit
Thu Jan 7th 2016
9:33:00 AM EST | $9.49 debit
Stop Loss
-$1,728 | -993.10%
$123,272 balance
5d, 1dte, SPX, 1000% SL
-2 Fri Jan 8th 1910p
Mon Jan 4th 2016
3:50:10 PM EST | $1.36 credit
Fri Jan 8th 2016
4:00:00 PM EST |
Expired
$270 | 99.26%
$123,542 balance
5d, 1dte, SPX, 1000% SL
-2 Fri Jan 8th 1925p
Wed Jan 6th 2016
3:50:10 PM EST | $0.90 credit
Fri Jan 8th 2016
4:00:00 PM EST | $3.97 debit
Assigned
-$616 | -342.22%
$122,926 balance
5d, 1dte, SPX, 1000% SL
-2 Fri Jan 8th 1880p
Thu Jan 7th 2016
3:50:10 PM EST | $0.91 credit
Fri Jan 8th 2016
4:00:00 PM EST |
Expired
$180 | 98.90%
$123,106 balance
5d, 1dte, SPX, 1000% SL
-2 Fri Jan 22nd 1775p
Tue Jan 19th 2016
3:50:10 PM EST | $1.57 credit
Fri Jan 22nd 2016
4:00:00 PM EST |
Expired
$312 | 99.36%
$123,418 balance
5d, 1dte, SPX, 1000% SL
-2 Fri Jan 22nd 1750p
Wed Jan 20th 2016
3:50:10 PM EST | $1.45 credit
Fri Jan 22nd 2016
4:00:00 PM EST |
Expired
$288 | 99.31%
$123,706 balance
5d, 1dte, SPX, 1000% SL
-2 Fri Jan 22nd 1805p
Thu Jan 21st 2016
3:50:10 PM EST | $0.86 credit
Fri Jan 22nd 2016
4:00:00 PM EST |
Expired
$170 | 98.84%
$123,876 balance
5d, 1dte, SPX, 1000% SL
-2 Fri Jan 29th 1780p
Mon Jan 25th 2016
3:50:10 PM EST | $1.42 credit
Fri Jan 29th 2016
4:00:00 PM EST |
Expired
$282 | 99.30%
$124,158 balance
5d, 1dte, SPX, 1000% SL
-2 Fri Jan 29th 1815p
Tue Jan 26th 2016
3:50:10 PM EST | $1.24 credit
Fri Jan 29th 2016
4:00:00 PM EST |
Expired
$246 | 99.19%
$124,404 balance
5d, 1dte, SPX, 1000% SL
-2 Fri Jan 29th 1805p
Wed Jan 27th 2016
3:50:10 PM EST | $0.94 credit
Fri Jan 29th 2016
4:00:00 PM EST |
Expired
$186 | 98.94%
$124,590 balance
5d, 1dte, SPX, 1000% SL
-2 Fri Jan 29th 1840p
Thu Jan 28th 2016
3:50:10 PM EST | $0.65 credit
Fri Jan 29th 2016
4:00:00 PM EST |
Expired
$128 | 98.46%
$124,718 balance
5d, 1dte, SPX, 1000% SL
-2 Fri Feb 5th 1860p
Mon Feb 1st 2016
3:50:10 PM EST | $1.15 credit
Wed Feb 3rd 2016
10:37:50 AM EST | $13.11 debit
Stop Loss
-$2,396 | -1041.74%
$122,322 balance
5d, 1dte, SPX, 1000% SL
-2 Fri Feb 5th 1825p
Tue Feb 2nd 2016
3:50:10 PM EST | $1.08 credit
Fri Feb 5th 2016
4:00:00 PM EST |
Expired
$214 | 99.07%
$122,536 balance
5d, 1dte, SPX, 1000% SL
-2 Fri Feb 5th 1835p
Wed Feb 3rd 2016
3:50:10 PM EST | $0.94 credit
Fri Feb 5th 2016
4:00:00 PM EST |
Expired
$186 | 98.94%
$122,722 balance
5d, 1dte, SPX, 1000% SL
-2 Fri Feb 5th 1860p
Thu Feb 4th 2016
3:50:10 PM EST | $0.71 credit
Fri Feb 5th 2016
4:00:00 PM EST |
Expired
$140 | 98.59%
$122,862 balance
5d, 1dte, SPX, 1000% SL
-2 Fri Feb 12th 1750p
Mon Feb 8th 2016
3:50:10 PM EST | $1.42 credit
Fri Feb 12th 2016
4:00:00 PM EST |
Expired
$282 | 99.30%
$123,144 balance
5d, 1dte, SPX, 1000% SL
-2 Fri Feb 12th 1755p
Tue Feb 9th 2016
3:50:10 PM EST | $1.33 credit
Fri Feb 12th 2016
4:00:00 PM EST |
Expired
$264 | 99.25%
$123,408 balance
5d, 1dte, SPX, 1000% SL
-2 Fri Feb 12th 1775p
Wed Feb 10th 2016
3:50:10 PM EST | $1.04 credit
Fri Feb 12th 2016
4:00:00 PM EST |
Expired
$206 | 99.04%
$123,614 balance
5d, 1dte, SPX, 1000% SL
-2 Fri Feb 12th 1775p
Thu Feb 11th 2016
3:50:10 PM EST | $0.74 credit
Fri Feb 12th 2016
4:00:00 PM EST |
Expired
$146 | 98.65%
$123,760 balance
5d, 1dte, SPX, 1000% SL
-2 Fri Feb 26th 1870p
Mon Feb 22nd 2016
3:50:10 PM EST | $0.93 credit
Fri Feb 26th 2016
4:00:00 PM EST |
Expired
$184 | 98.92%
$123,944 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.