Next Day Move Backtesting Results

 

Next Day Move Backtesting Results '07 - '17SPY call options
Starting Capital$10,000.00
Ending Capital $2,983,739.90
Net Profit $2,973,739.90
Net Profit %29737.40%
Market Exposure %9.56%
Years Tested10.83
% Profit p/yr (CAGR)69.25%
Risk Adj Return724.05%
Total Trades474
Avg P/L (Expectancy $) $6,273.71
Avg P/L (Expectancy %)1.33%
Avg Bars Held1.83
Winning Trades 261 (55.06%)
Gross Profit $5,356,619.81
Avg Profit $20,523.45
Avg Profit %4.70%
Max Winning Trade $574,949.82
Max Winning Trade %29.94%
Max Winning Streak7
Losing Trades 213 (44.94%)
Gross Loss $(2,382,879.91)
Avg Loss $(11,187.23)
Avg Loss %-2.79%
Max Losing Trade $(138,381.14)
Max Losing Trade%-7.68%
Max Losing Streak6
Max Drawdown24.68%
Max Drawdown $ $(256,013.94)
Recovery Factor11.62
CAR/MaxDD2.81
Profit Factor2.25
Payoff Ratio1.68
Sharpe Ratio1.34
Ulcer Index7.27%
R-squared98.42%

Yearly Returns:

NDM SPY
2007 127.80% 3.42%
2008 33.89% -37.74%
2009 17.48% 19.88%
2010 45.81% 10.96%
2011 96.14% -1.22%
2012 45.01% 11.69%
2013 201.46% 26.45%
2014 43.66% 12.37%
2015 54.84% -0.76%
2016 37.13% 11.20%
2017 111.37% 14.32%

 


Performance results on this website dated prior to September 2014 for TVO (prior to May 2015 for HG, and prior to May 2016 for IO), including backtesting and trade history, are simulated. Please read our full disclaimer.