Benchmarking

In order to accomplish our goal of having the most accurate options backtester available to retail traders, we spend a lot of time executing mechanical strategies in live brokerage accounts via Whispertrades bots and then compare those trades against our backtester.
Our tests below use very short duration and high gamma positions, which are the most difficult to accurately backtest. Despite this, our results remain quite close. Any backtest that extends duration or lowers gamma will experience even more accurate results.
1 DTE SPX Short Puts, Sequential
Entry:
6.5 delta
60% slippage
Exit:
72% profit target
60% exit slippage
﻿
Bot
Backtest
Trades
277
268
Average Entry Price
$2.38
$2.39
Average Exit Price
$2.27
$2.30
Average Profit
$0.11
$0.09
1 DTE SPX Short Calls, Sequential
Entry:
3 delta
60% slippage
Exit:
83% profit target
60% exit slippage
﻿
Bot
Backtest
Trades
239
227
Average Entry Price
$0.74
$0.75
Average Exit Price
$0.55
$0.53
Average Profit
$0.19
$0.22
0 DTE SPX Put Credit Spreads @ 9:40am - 12:00pm, Sequential
Entry:
12 delta
70% slippage
Exit:
$0.05 profit target
200% stop loss
80% exit slippage
﻿
Bot
Backtest
Trades
93
93
Wins
72
73
Losses
21
20
Win %
77.4%
78.5%
Average Entry Price
$2.06
$2.03
Average Exit Price
$1.43
$1.33
Average Profit
$0.63
$0.70
Total Profit
$58.59
$65.10
0 DTE SPX Call Credit Spreads @ 9:40am - 12:00pm, Sequential
Entry:
12 delta
70% slippage
Exit:
$0.05 profit target
200% stop loss
80% exit slippage
﻿
Bot
Backtest
Trades
102
103
Wins
66
66
Losses
36
37
Win %
64.7%
64.1%
Average Entry Price
$1.77
$1.76
Average Exit Price
$2.08
$2.10
Average Profit
($0.31)
($0.36)
Total Profit
($31.62)
($35.02)
0 DTE SPX Put Credit Spreads @ 9:35am
Entry:
15 delta
70% slippage
Exit:
$0.05 profit target
45 delta loss
100% exit slippage
﻿
Bot
Backtest
Trades
39
39
Wins
35
35
Losses
4
4
Win %
89.7%
89.7%
Average Entry Price
$2.90
$2.92
Average Exit Price
$1.05
$1.01
Average Profit
$1.85
$1.91
Total Profit
$72.15
$74.49
0 DTE SPX Call Credit Spreads @ 9:35am
Entry:
17 delta
70% slippage
Exit:
$0.05 profit target
45 delta loss
90% exit slippage
﻿
Bot
Backtest
Trades
39
39
Wins
24
23
Losses
11
16
Win %
61.5%
59.0%
Average Entry Price
$3.08
$3.10
Average Exit Price
$3.38
$3.51
Average Profit
($0.30)
($0.41)
Total Profit
($11.70)
($15.99)
0 DTE SPX Put Credit Spreads @ 1:30pm
Entry:
$2.00 premium on short strike
1% spread width
70% entry slippage
Exit:
200% stop loss
100% exit slippage
﻿
Bot
Backtest
Trades
105
105
Wins
75
75
Losses
30
30
Win %
71.4%
71.4%
Average Entry Price
$1.83
$1.85
Average Exit Price
$1.70
$1.72
Average Profit
$0.13
$0.13
Total Profit
$13.65
$13.65
0 DTE SPX Put Credit Spreads @ 2:30pm
Entry:
16 delta
90% slippage
Exit:
$0.05 profit target
55 delta loss
100% exit slippage
﻿
Bot
Backtest
Trades
39
39
Wins
32
31
Losses
7
8
Win %
82.1%
79.5%
Average Entry Price
$1.38
$1.36
Average Exit Price
$0.97
$1.11
Average Profit
$0.41
$0.25
Total Profit
$15.99
$9.75
0 DTE SPX Call Credit Spreads @ 2:30pm
Entry:
12 delta
90% slippage
Exit:
$0.05 profit target
50 delta loss
100% exit slippage
﻿
Bot
Backtest
Trades
39
39
Wins
35
31
Losses
4
8
Win %
89.7%
79.5%
Average Entry Price
$0.91
$0.87
Average Exit Price
$0.66
$0.59
Average Profit
$0.25
$0.28
Total Profit
$9.75
$10.92
0 DTE SPX Put Credit Spreads @ 3:00pm
Entry:
25 delta
100% slippage
Exit:
$0.05 profit target
70 delta loss
150% exit slippage
﻿
Bot
Backtest
Trades
39
39
Wins
29
28
Losses
10
11
Win %
74.4%
71.8%
Average Entry Price
$1.90
$2.04
Average Exit Price
$1.60
$1.79
Average Profit
$0.30
$0.26
Total Profit
$11.70
$9.75
0 DTE SPX Call Credit Spreads @ 3:00pm
Entry:
$2.00 premium on short strike
1% spread width
70% entry slippage
Exit:
200% stop loss
100% exit slippage
﻿
Bot
Backtest
Trades
105
105
Wins
79
81
Losses
26
24
Win %
75.2%
87.1%
Average Entry Price
$1.94
$1.86
Average Exit Price
$1.67
$1.49
Average Profit
$0.27
$0.37
Total Profit
$28.35
$38.85
We will continue to measure and monitor bot fills vs backtests.

	Bot	Backtest
Trades	277	268
Average Entry Price	$2.38	$2.39
Average Exit Price	$2.27	$2.30
Average Profit	$0.11	$0.09

	Bot	Backtest
Trades	239	227
Average Entry Price	$0.74	$0.75
Average Exit Price	$0.55	$0.53
Average Profit	$0.19	$0.22

	Bot	Backtest
Trades	93	93
Wins	72	73
Losses	21	20
Win %	77.4%	78.5%
Average Entry Price	$2.06	$2.03
Average Exit Price	$1.43	$1.33
Average Profit	$0.63	$0.70
Total Profit	$58.59	$65.10

	Bot	Backtest
Trades	102	103
Wins	66	66
Losses	36	37
Win %	64.7%	64.1%
Average Entry Price	$1.77	$1.76
Average Exit Price	$2.08	$2.10
Average Profit	($0.31)	($0.36)
Total Profit	($31.62)	($35.02)

	Bot	Backtest
Trades	39	39
Wins	35	35
Losses	4	4
Win %	89.7%	89.7%
Average Entry Price	$2.90	$2.92
Average Exit Price	$1.05	$1.01
Average Profit	$1.85	$1.91
Total Profit	$72.15	$74.49

	Bot	Backtest
Trades	39	39
Wins	24	23
Losses	11	16
Win %	61.5%	59.0%
Average Entry Price	$3.08	$3.10
Average Exit Price	$3.38	$3.51
Average Profit	($0.30)	($0.41)
Total Profit	($11.70)	($15.99)

	Bot	Backtest
Trades	105	105
Wins	75	75
Losses	30	30
Win %	71.4%	71.4%
Average Entry Price	$1.83	$1.85
Average Exit Price	$1.70	$1.72
Average Profit	$0.13	$0.13
Total Profit	$13.65	$13.65

	Bot	Backtest
Trades	39	39
Wins	32	31
Losses	7	8
Win %	82.1%	79.5%
Average Entry Price	$1.38	$1.36
Average Exit Price	$0.97	$1.11
Average Profit	$0.41	$0.25
Total Profit	$15.99	$9.75

	Bot	Backtest
Trades	39	39
Wins	35	31
Losses	4	8
Win %	89.7%	79.5%
Average Entry Price	$0.91	$0.87
Average Exit Price	$0.66	$0.59
Average Profit	$0.25	$0.28
Total Profit	$9.75	$10.92

	Bot	Backtest
Trades	39	39
Wins	29	28
Losses	10	11
Win %	74.4%	71.8%
Average Entry Price	$1.90	$2.04
Average Exit Price	$1.60	$1.79
Average Profit	$0.30	$0.26
Total Profit	$11.70	$9.75

	Bot	Backtest
Trades	105	105
Wins	79	81
Losses	26	24
Win %	75.2%	87.1%
Average Entry Price	$1.94	$1.86
Average Exit Price	$1.67	$1.49
Average Profit	$0.27	$0.37
Total Profit	$28.35	$38.85

Updated 27 Mar 2024

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