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Ademscodeisnotsobad

Quant Companion MCP

options_wheel_2015-2025.json20.4 kB
{ "strategy": "wheel", "config": { "initialCapital": 100000, "riskFreeRate": 0.04, "daysToExpiration": 30, "targetDelta": 0.3, "optionSlippagePct": 0.02, "commissionPerContract": 0.65, "positionSizing": "percent_of_capital", "capitalPercentage": 0.25 }, "period": { "start": "2015-01-01", "end": "2025-12-01" }, "finalCapital": 106871.25319440375, "riskMetrics": { "totalReturn": 0.06871253194403737, "annualizedReturn": 0.010311664699721446, "annualizedVol": 0.08945572210189091, "sharpe": 0.11527115826057904, "sortino": 0.14714617771532373, "maxDrawdown": 0.15076294196563425, "sampleSize": 2713, "isReliable": true }, "stats": { "totalTrades": 183, "winningTrades": 0, "losingTrades": 91, "winRate": 0, "totalPremiumCollected": 975688.8226231841, "totalAssignments": 46, "avgDaysHeld": 14.825136612021858, "avgPremiumPerTrade": 5331.632910509203 }, "tradesSample": [ { "tradeNum": 1, "date": "2015-02-17", "action": "SELL_PUT", "strike": 272.7139984130859, "premium": 60.79810038464137, "contracts": 1, "stockPrice": 209.77999877929688, "iv": 0.16451963416280055, "delta": -0.9999999773481902, "daysToExp": 30, "pnl": 0, "equityAfter": 106079.16003846414 }, { "tradeNum": 2, "date": "2015-03-31", "action": "ASSIGNED", "strike": 272.7139984130859, "premium": 0, "contracts": 1, "stockPrice": 206.42999267578125, "iv": 0.15742348964313901, "delta": 0, "daysToExp": 0, "pnl": -6628.400573730465, "equityAfter": 99450.75946473367 }, { "tradeNum": 3, "date": "2015-03-31", "action": "SELL_CALL", "strike": 145.77500000000003, "premium": 61.694403845294985, "contracts": 1, "stockPrice": 208.25, "iv": 0.15742348964313901, "delta": 0.9999999999999993, "daysToExp": 30, "pnl": 0, "equityAfter": 105619.54984926316 }, { "tradeNum": 4, "date": "2015-05-13", "action": "SELL_STOCK", "strike": 145.77500000000003, "premium": 61.694403845294985, "contracts": 1, "stockPrice": 210.02000427246094, "iv": 0.12329617464167231, "delta": 0, "daysToExp": 0, "pnl": -6524.459456779088, "equityAfter": 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"tradeNum": 12, "date": "2015-11-02", "action": "SELL_STOCK", "strike": 136.81499786376958, "premium": 57.90360930790072, "contracts": 1, "stockPrice": 210.38999938964844, "iv": 0.1401043997403429, "delta": 0, "daysToExp": 0, "pnl": -7613.640076289997, "equityAfter": 97735.48059618125 }, { "tradeNum": 13, "date": "2015-11-02", "action": "SELL_PUT", "strike": 270.30899047851557, "premium": 60.26193456736499, "contracts": 1, "stockPrice": 207.92999267578125, "iv": 0.1401043997403429, "delta": -0.999999999935877, "daysToExp": 30, "pnl": 0, "equityAfter": 103761.02405291775 }, { "tradeNum": 14, "date": "2015-12-15", "action": "ASSIGNED", "strike": 270.30899047851557, "premium": 0, "contracts": 1, "stockPrice": 205.02999877929688, "iv": 0.17497670503460508, "delta": 0, "daysToExp": 0, "pnl": -6527.8991699218695, "equityAfter": 97233.12488299588 }, { "tradeNum": 15, "date": "2015-12-15", "action": "SELL_CALL", "strike": 142.02999572753907, "premium": 60.10945576786403, "contracts": 1, "stockPrice": 202.89999389648438, "iv": 0.17497670503460508, "delta": 0.9999999999996985, "daysToExp": 30, "pnl": 0, "equityAfter": 103243.42045978228 }, { "tradeNum": 16, "date": "2016-01-29", "action": "SELL_STOCK", "strike": 142.02999572753907, "premium": 60.10945576786403, "contracts": 1, "stockPrice": 193.72000122070312, "iv": 0.23847525821877638, "delta": 0, "daysToExp": 0, "pnl": -6816.953898311246, "equityAfter": 96943.4201546065 }, { "tradeNum": 17, "date": "2016-01-29", "action": "SELL_PUT", "strike": 245.843000793457, "premium": 54.80781103500467, "contracts": 1, "stockPrice": 189.11000061035156, "iv": 0.23847525821877638, "delta": -0.999913377468685, "daysToExp": 30, "pnl": 0, "equityAfter": 102423.55125810696 }, { "tradeNum": 18, "date": "2016-03-14", "action": "ASSIGNED", "strike": 245.843000793457, "premium": 0, "contracts": 1, "stockPrice": 202.5, "iv": 0.18401344742732145, "delta": 0, "daysToExp": 0, "pnl": -4334.300079345701, "equityAfter": 98089.25117876126 }, { "tradeNum": 19, "date": "2016-03-14", "action": "SELL_CALL", "strike": 141.93199615478517, "premium": 60.067980719210816, "contracts": 1, "stockPrice": 202.75999450683594, "iv": 0.18401344742732145, "delta": 0.9999999999962765, "daysToExp": 30, "pnl": 0, "equityAfter": 104095.39925068234 }, { "tradeNum": 20, "date": "2016-04-26", "action": "SELL_STOCK", "strike": 141.93199615478517, "premium": 60.067980719210816, "contracts": 1, "stockPrice": 208.9199981689453, "iv": 0.11465987815696851, "delta": 0, "daysToExp": 0, "pnl": -4384.302391946102, "equityAfter": 98038.59886616086 }, { "tradeNum": 21, "date": "2016-04-26", "action": "SELL_PUT", "strike": 271.193000793457, "premium": 60.45901336833613, "contracts": 1, "stockPrice": 208.61000061035156, "iv": 0.11465987815696851, "delta": -0.9999999999999981, "daysToExp": 30, "pnl": 0, "equityAfter": 104083.85020299446 }, { "tradeNum": 22, "date": "2016-06-08", "action": "ASSIGNED", "strike": 271.193000793457, "premium": 0, "contracts": 1, 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], "equityCurveSample": [ 100000, 106033.55131410691, 105325.05402718666, 105349.77067247126, 103761.02405291775, 102423.55125810696, 104737.39906757687, 104187.95448134256, 103898.14799906837, 103950.52007827091, 104890.11485772431, 105827.87209886232, 106556.9949481019, 106804.68338964309, 107502.66608983238, 107358.67647269153, 107221.65744161517, 106259.75548498081, 107437.76936053939, 103529.4119057582, 103981.45769535466, 103144.54051482427, 103904.67754299335, 106427.5446110489, 108611.6420195817, 108677.2976014817, 100220.54314279235, 98514.9457258255, 102221.91951257028, 100870.78472983427, 106516.29846304205, 110268.2180741401, 109694.96620216357, 109320.24628854328, 110780.40804430831, 112716.0791160283, 109093.38760146503, 97964.54214932019, 101368.59271194044, 102106.18548875429, 105360.8520714761, 107887.11952620446, 112492.599554116, 112088.45631181455, 109349.57783268478, 107503.8708517071, 110953.76921697121, 108654.18004187013, 112373.96804846785, 116012.00068283042, 114784.6079907899, 112578.42549298397, 102163.71037473495, 105336.18477584845, 109242.55962983682 ] }

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