VRP-ShortPut

Finished
QuantPedia - Composite Seasonal
SPX 2012-01-04 → 2023-12-29· 12.0 y Short Put1 leg1 expirationMax positions 1
Finished 24-02-27 08:11Version MesoSim-2.10.51-0-g1ec42f1
Cumulative Return help 104.27% SPX 274.32%
CAGR help 6.14% SPX 11.64%
Win/Loss rate 25.67308 wins / 12 losses
Trade Count 320Avg Days in Trade 2.95
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. Drawdown is measured on every NAV row. Click a legend entry to hide its series.

Risk Graph at first entry

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Statistics

Metric StrategySPX
Trades
Trade Count 3201
Win/Loss rate 308 / 12 = 25.67-
Adjustments 0-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 258-
Settlements 62-
Avg Days in Trade 2.954377
Performance
Cumulative Return 104.27%274.32%
CAGR 6.14%11.64%
Max Drawdown
from Peak		 -22.77%-33.47%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 0.880.78
Alpha 0.05-
Beta 0.13-
Kelly Criterion 19.21-7.42
Profit Factor 1.461.11
Probabilistic Sharpe 98.71%99.62%
Annual Volatility 7.04%15.64%
Omega 1.46-
Information ratio -0.02-
Avg Drawdown -0.25%-1.33%
Avg Drawdown Days 513
Avg Up Month 0.933.27
Avg Down Month -5.56%-7.13%
R^2 0.080.08
Calmar 0.270.35
Treynor 795.16-

Next steps

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