Weekly Options Backtest — Performance Summary & Analysis
| Sell call @ 1.02× price (lower strike) | Collect premium — short leg |
| Buy call @ 1.05× price (higher strike) | Cap max loss — long leg (hedge) |
| Net credit received at open | Max profit = full credit × 100 × qty |
| Max loss = (width − credit) × 100 × qty | If MU rallies above short strike |
| Average winner | +$865 |
| Average loser | $-1,262 |
| Best trade | +$1,838 (2022-06-06) |
| Worst trade | $-3,070 (2022-10-03) |
| Total gross wins | +$10,383 |
| Total gross losses | $-5,047 |
Total P&L of +$5,336 over 16 weeks demonstrates consistent edge for the bear call setup on MU.
75.0% win rate over 16 trades — statistically meaningful sample size.
Annualised Sharpe of 2.04 indicates reasonable risk-adjusted returns.
Jan–Oct 2022 was a significant equity drawdown period. MU fell ~50% over this window, which can generate both wins (short bias aligned with trend) and large losses on counter-trend weeks.
All pricing uses Black-Scholes (European) with 20-day trailing historical vol. No commissions, slippage, pin risk, or early-exercise risk are modelled. Actual results will differ.
| Open Date | Close Date | Expiry | S Open | S Close | Short / Long K | Width | HV% | Net Credit | Close Debit | P&L | Cum P&L |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 2022-01-03 | 2022-01-06 | 2022-01-07 | $93.97 | $95.68 | 95 / 100 | 5 | 49% | $1.2065 | $0.9110 | +$295 | +$295 |
| 2022-01-10 | 2022-01-13 | 2022-01-14 | $94.29 | $95.62 | 95 / 100 | 5 | 49% | $1.3022 | $0.8659 | +$436 | +$732 |
| 2022-01-24 | 2022-01-27 | 2022-01-28 | $80.28 | $78.71 | 80 / 85 | 5 | 39% | $1.3405 | $0.2505 | +$1,090 | +$1,822 |
| 2022-01-31 | 2022-02-03 | 2022-02-04 | $79.03 | $82.01 | 80 / 85 | 5 | 42% | $0.9073 | $2.0473 | $-1,140 | +$682 |
| 2022-02-28 | 2022-03-03 | 2022-03-04 | $88.43 | $89.17 | 90 / 95 | 5 | 47% | $0.9354 | $0.3071 | +$628 | +$1,310 |
| 2022-03-21 | 2022-03-24 | 2022-03-25 | $78.99 | $78.20 | 80 / 85 | 5 | 74% | $1.4114 | $0.2519 | +$1,160 | +$2,470 |
| 2022-04-11 | 2022-04-14 | 2022-04-18 | $70.61 | $70.12 | 70 / 75 | 5 | 51% | $1.7609 | $1.0205 | +$740 | +$3,210 |
| 2022-04-18 | 2022-04-21 | 2022-04-22 | $70.25 | $70.94 | 70 / 75 | 5 | 36% | $1.1588 | $1.0987 | +$60 | +$3,270 |
| 2022-05-09 | 2022-05-12 | 2022-05-13 | $69.11 | $67.76 | 70 / 75 | 5 | 43% | $0.8193 | $0.0139 | +$805 | +$4,076 |
| 2022-06-06 | 2022-06-09 | 2022-06-10 | $71.06 | $66.01 | 70 / 75 | 5 | 56% | $1.8388 | $0.0007 | +$1,838 | +$5,914 |
| 2022-06-13 | 2022-06-16 | 2022-06-17 | $59.88 | $55.04 | 60 / 65 | 5 | 58% | $1.2477 | $0.0001 | +$1,248 | +$7,161 |
| 2022-06-27 | 2022-06-30 | 2022-07-01 | $59.63 | $55.46 | 60 / 65 | 5 | 55% | $1.0979 | $0.0000 | +$1,098 | +$8,259 |
| 2022-07-25 | 2022-07-28 | 2022-07-29 | $61.27 | $62.08 | 60 / 65 | 5 | 40% | $1.6982 | $2.0888 | $-391 | +$7,869 |
| 2022-08-15 | 2022-08-18 | 2022-08-19 | $64.86 | $63.00 | 65 / 70 | 5 | 40% | $0.9851 | $0.0014 | +$984 | +$8,852 |
| 2022-08-22 | 2022-08-25 | 2022-08-26 | $59.53 | $61.21 | 60 / 65 | 5 | 43% | $0.8381 | $1.2837 | $-446 | +$8,407 |
| 2022-10-03 | 2022-10-06 | 2022-10-07 | $51.01 | $54.61 | 50 / 55 | 5 | 40% | $1.4305 | $4.5009 | $-3,070 | +$5,336 |