VRP-ShortPut-SL-Moneyness

Finished
QuantPedia - Composite Seasonal
SPX 2012-01-04 → 2023-12-29· 12.0 y Short Put1 leg1 expirationMax positions 1
Finished 24-02-27 10:25Version MesoSim-2.10.51-0-g1ec42f1
Cumulative Return help 145.99% SPX 274.32%
CAGR help 7.79% SPX 11.64%
Win/Loss rate 21.93307 wins / 14 losses
Trade Count 321Avg Days in Trade 2.94
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 3211
Win/Loss rate 307 / 14 = 21.93-
Adjustments 0-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 254-
Settlements 61-
Avg Days in Trade 2.944377
Performance
Cumulative Return 145.99%274.32%
CAGR 7.79%11.64%
Max Drawdown
from Peak		 -5.3%-33.47%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 1.870.78
Alpha 0.07-
Beta 0.09-
Kelly Criterion 29.01-6.44
Profit Factor 1.831.11
Probabilistic Sharpe 100%99.62%
Annual Volatility 4.07%15.64%
Omega 1.83-
Information ratio -0.01-
Avg Drawdown -0.19%-1.33%
Avg Drawdown Days 313
Avg Up Month 0.813.27
Avg Down Month -1.67%-5.92%
R^2 0.120.12
Calmar 1.470.35
Treynor 1656.02-

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