VRP-ShortPut-SL-Moneyness-Scaled

Finished
QuantPedia - Composite Seasonal
SPX 2012-01-04 → 2023-12-29· 12.0 y Short Put1 leg1 expirationMax positions 1
Finished 24-07-04 10:53Version MesoSim-2.10.51-0-g1ec42f1
Cumulative Return help 291.97% SPX 274.32%
CAGR help 12.07% 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 the strategy's, from its peak on every NAV row; click SPX drawdown to compare. Click a legend entry to hide its series.

Risk Graph at first entry

Please sign in to see the Risk Graph at first entry.

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 291.97%274.32%
CAGR 12.07%11.64%
Max Drawdown
from Peak		 -8.26%-33.47%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 1.880.78
Alpha 0.1-
Beta 0.13-
Kelly Criterion 28.9-6.44
Profit Factor 1.831.11
Probabilistic Sharpe 100%99.62%
Annual Volatility 6.16%15.64%
Omega 1.83-
Information ratio 0-
Avg Drawdown -0.3%-1.33%
Avg Drawdown Days 313
Avg Up Month 1.243.27
Avg Down Month -2.57%-5.92%
R^2 0.110.11
Calmar 1.460.35
Treynor 2199.73-

Next steps

  • Make it yours Clone opens this definition in the Job Editor, to change and run it.

Sign in to open the Position Monitor, StatSim and the AI Assistant for this backtest.