| Strategy | Portfolio-Opt / 45DTE-ShortPut-TrailingStop-compounding | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2020-07-01 to 2024-06-28 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.11.39-0-g895393d | Structure | Short Put | Legs | 1 |
| Strategy | Portfolio-Opt / 45DTE-ShortPut-TrailingStop-compounding |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2020-07-01 to 2024-06-28 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.11.39-0-g895393d |
| Structure | Short Put |
| Legs | 1 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 157 | 1 |
| Win/Loss rate | 78 / 79 = 0.99 | - |
| Adjustments | 576 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 18 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 7.7 | 1458 |
| Cumulative Return | 993.29% | 75.43% |
| CAGR | 81.99% | 15.11% |
| Max Drawdown from Peak |
-32.14% | -25.39% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 1.65 | 0.92 |
| Alpha | 0.41 | - |
| Beta | 1.82 | - |
| Kelly Criterion | 14.14 | -3.85 |
| Profit Factor | 1.38 | 1.14 |
| Probabilistic Sharpe | 99.91% | 96.68% |
| Annual Volatility | 41.75% | 16.75% |
| Omega | 1.38 | - |
| Information ratio | 0.08 | - |
| Avg Drawdown | -2.02% | -1.12% |
| Avg Drawdown Days | 6 | 12 |
| Avg Up Month | 11.58 | 4.3 |
| Avg Down Month | -10.03% | -4.12% |
| R^2 | 0.53 | 0.53 |
| Calmar | 2.55 | 0.6 |
| Treynor | 545.42 | - |