| Strategy | QuantPedia - Composite Seasonal / VRP-ShortPut-SL-Moneyness-Scaled | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2012-01-04 to 2023-12-29 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.10.51-0-g1ec42f1 | Structure | Short Put | Legs | 1 |
| Strategy | QuantPedia - Composite Seasonal / VRP-ShortPut-SL-Moneyness-Scaled |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2012-01-04 to 2023-12-29 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.10.51-0-g1ec42f1 |
| Structure | Short Put |
| Legs | 1 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 321 | 1 |
| 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 | 2.94 | 4377 |
| 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/A | N/A |
| Sharpe | 1.88 | 0.78 |
| Alpha | 0.1 | - |
| Beta | 0.13 | - |
| Kelly Criterion | 28.9 | -6.44 |
| Profit Factor | 1.83 | 1.11 |
| 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 | 3 | 13 |
| Avg Up Month | 1.24 | 3.27 |
| Avg Down Month | -2.57% | -5.92% |
| R^2 | 0.11 | 0.11 |
| Calmar | 1.46 | 0.35 |
| Treynor | 2199.73 | - |