Trade Performance Analysis

Executive Summary

The realized closed-trade record produced $8,814 of net P&L, lifting realized equity from $30,000 to $38,814, a 29.38% return against starting capital. The closed-trade win rate was 81.21%, profit factor was 2.63, and average trade P&L was $59 versus a median of $50.

The best trade was $1,125 and the worst trade was $-1,330. Maximum realized closed-trade drawdown was $-1,274, or -4.25% of the $30,000 starting capital. Time in drawdown was 43.62% by closed-trade observations and 33.47% by calendar days between the first and last closed trade.

Sharpe and Sortino, calculated from exit-date aggregated realized returns against starting capital and annualized with a 252-trading-day convention, were 5.64 and 5.26. These are not daily mark-to-market risk statistics. They summarize the realized closing stream only.

Interpretation: the result appears broad-based rather than purely dependent on a single outlier. The realized stream suggests stable positive realized expectancy with intermittent clusters of losses. The log is dominated by short strangles/straddles and VRP-labeled trades, so the realized record is consistent with short-volatility premium harvesting: frequent smaller winners, occasional larger losers, and a need for separate stress, margin, and peak adverse excursion analysis.

Data Cleaning and Column Mapping

The parser identified the trade-log header row and mapped columns directly from the workbook. Rows were retained only when Status was exactly closed after trimming and lower-casing. Closed rows with missing exit date or missing numeric P&L were excluded from realized analysis.

Suspicious values: two closed rows had future exit dates after 2026-05-23 and were excluded; VRP probability contains non-numeric markers such as “x”; those were treated as missing for VRP diagnostics. Estimated margin is blank for the closed-trade set, so return on margin or return on capital at risk was not calculated.

Performance Statistics

Realized Equity Curve

The equity curve is constructed as $30,000 plus cumulative closed-trade P&L by exit date. The curve does not include open-trade marks, intraday variation, or unrealized losses while trades were still open.

Cumulative P&L Curve

Cumulative P&L is the same closed-trade stream before adding starting capital. Multiple trades closing on the same date are aggregated for date-level risk statistics.

Drawdown Analysis

Return and P&L Distribution

Best 10 Trades

Worst 10 Trades

Outlier Analysis

The average closed-trade P&L was $59, versus a median of $50. The mean is above the median, indicating positive skew from several larger winners, despite the presence of a material left tail. The top five winners contributed 20.97% of gross profits; the worst five losers contributed 65.87% of gross losses. This is meaningful concentration, but not a one-trade result. The worst single trade represented 24.64% of total gross losses; the worst three trades represented 53.68%.

Rolling / Sequential Risk Analysis

The rolling series indicates whether expectancy is broadly persistent or concentrated into specific sequences. Because this is trade-indexed rather than time-indexed, clusters should be interpreted as realized trade sequences, not necessarily full market-regime intervals.

Strategy Breakdown

Strategy labels are usable but not perfectly normalized; for example, variants such as “VRP 30 dte”, “VRP 30dte”, “VRP 9 dte”, and “VP 30 dte” are treated as separate labels in the raw grouping. Normalizing these into a strategy taxonomy would improve comparability.

Ticker / Underlying Breakdown

Position / Structure Breakdown

Position structure uses the workbook’s position labels. The column is labeled “Postion” in the workbook; no aggressive inference was applied beyond lower-casing and trimming labels.

Holding Period Analysis

Expiration / DTE Analysis

Expiration dates were parsed from YYYYMMDD-style values when available. Stock rows and rows with “-” expiration were excluded from DTE calculations. Entry DTE is based on expiration date minus entry date.

Volatility / VRP / Vega Diagnostics

VRP Probability Buckets

Vega Exposure Buckets

VRP probability and vega exposure are available for many but not all closed trades. Non-numeric VRP markers were treated as missing. These diagnostics should be treated as conditional realized summaries, not causal evidence.

Trade Sizing and Risk Concentration

Size is proxied as size × contract value because explicit risk capital and margin fields are unavailable. This is a rough exposure proxy, not capital at risk. It should not be used as a substitute for margin, buying power usage, or stress loss.

Loss Clustering and Tail Risk

The longest consecutive loss streak was 5 trades. The worst cumulative 3-trade loss was $-1,256; the worst 5-trade loss was $-1,439; the worst 10-trade loss was $-918. These are realized closed-trade figures, not peak adverse excursion.

Given the prevalence of short straddles/strangles, the realized loss profile is consistent with a short-volatility program: losses are less frequent than wins, but individual losing trades can be large relative to the median winner. The log is insufficient to estimate theoretical tail exposure or liquidation risk.

Calendar Analysis

The monthly view is based on exit dates and closed-trade realized P&L. It is useful for identifying calendar clustering, but monthly conclusions are preliminary because the sample spans less than one year and the P&L stream is lumpy.

Monthly Heatmap / Calendar Grid

Gold cells indicate positive realized monthly P&L and red cells indicate negative realized monthly P&L. Cell intensity is scaled by absolute monthly P&L within this sample.

The corrected month parsing allocates numeric YYYYMMDD-style exit dates to their proper 2026 months. March remains the weakest month, while April is the strongest realized month in the sample.

Risk Manager Notes

The realized record shows positive expectancy, strong net P&L, and a high win rate on closed trades. On a $30,000 starting capital base, the realized return is substantial, and the recovery factor is strong because the largest realized closed-trade drawdown is modest relative to ending profit.

The main qualification is scope. This is a closed-trade realization report, not a full pathwise risk report. It measures what happened at exits; it does not measure interim mark-to-market equity, peak adverse excursion, margin expansion, gap exposure, assignment risk, or liquidation pressure during open trades.

Within that limitation, the trade log is analytically useful. It suggests that the program had a favorable realized expectancy over the sample, with most months positive and losses concentrated in a relatively small number of trades rather than evenly distributed. That pattern is consistent with many premium-selling programs and should be monitored, not automatically treated as disqualifying.

Future reviews would be materially stronger with daily MTM equity, margin usage, Greeks, implied volatility at entry and exit, underlying price movement, and adjustment notes. Those fields would allow the realized record to be connected to actual exposure, stress, and sizing decisions.

Appendix: Assumptions, Definitions, and Exclusions

Assumptions

• Starting capital is $30,000.
• Only closed trades are included in main analysis.
• Exit date is the realization date.
• Multiple trades closing on the same day are aggregated for date-level returns.
• Daily realized return = exit-date aggregate P&L / $30,000.
• Drawdown dollars = current realized equity minus prior realized equity high.
• Drawdown percent = drawdown dollars / $30,000.
• Sharpe and Sortino are based on exit-date realized returns and annualized using 252 trading days.

Metric Definitions

• Profit factor = gross profit / absolute gross loss.
• Expectancy = average trade P&L.
• Payoff ratio = average winner / absolute average loser.
• Recovery factor = net P&L / absolute max realized drawdown dollars.
• Flat trades have zero realized P&L.

Data Exclusions and Warnings

• Rows without Status = closed are excluded.
• Closed rows missing usable exit date or numeric P&L are excluded.
• Open trades are excluded from all performance statistics.
• Margin and daily MTM data are not available, so return on risk capital and intratrade drawdown are not calculated.