Hypothetical / backtested
What it trades
How every trade is built
· hypothetical / backtested
Total P&L
Max drawdown
Worst single day
Profit factor, per trade
Losing months
Trades
Cumulative P&L, with its drawdown underneath
— cumulative P&L and drawdown · hypothetical / backtested
· dollars, 1 contract per leg
- Cumulative P&L
Month by month
— monthly P&L · hypothetical / backtested
- Winning month
- Losing month
The three tiers, side by side
Same signals, same entries, same rules. Only the distance from the short strike to its long hedge changes, and with it the margin each trade ties up.
Full statistics, all three tiers
How it loses
Its place in the Portfolio
Correlation with the other three
Daily P&L, Full, over the sessions both strategies have a record for. 1 moves together, 0 is unrelated, negative moves apart.
Run on its own
Every figure on this page is standalone: the strategy's margin is computed from its own legs only. Run inside the Portfolio, put-side and call-side risk are netted across all four, so the Portfolio needs materially less capital than the four standalone requirements added together.
Assumptions behind every number on this page
- $1.20 commission per leg.
- Fills modelled from 1-minute quote data.
- Backtest settled on the SPX official close.
- One contract per leg throughout. Nothing is reinvested and position size never grows with the account.
How the figures are calculated
- Margin and account size
- Capital at risk on a spread is (width − credit) × 100. Each session contributes its intraday peak; "peak daily margin" is the largest of those over the record, and is the account size every percentage on this page is measured against. Computed for this strategy alone.
- Annualised figures
- Annualised P&L, return on peak margin (CAGR) and Calmar are annualised over the calendar months in the strategy's record. CAGR is the growth rate of an account sized to the peak margin, trading a fixed size: not a compounding result, and no interest is credited on the cash held for margin.
- Sharpe and Sortino
- Mean daily P&L over its standard deviation (Sortino: over losing days only), annualised by √252, counting every trading day in the strategy’s window, days without a trade included. The same basis as the Portfolio’s figure on The performance page.
- Profit factor
- Gross profit divided by gross loss, per trade, per session and per month.
- Drawdown
- Distance of cumulative P&L below its running peak, measured at each session's close.
Figures as of .