| Strategy | [WeekendEffect] / WeekendEffect-ShortPut-16-22 | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2016-08-01 to 2022-12-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.10.3-0-g732a118 | Structure | Naked Put | Legs | 1 |
| Strategy | [WeekendEffect] / WeekendEffect-ShortPut-16-22 |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2016-08-01 to 2022-12-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.10.3-0-g732a118 |
| Structure | Naked Put |
| Legs | 1 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 322 | 1 |
| Win/Loss rate | 274 / 48 = 5.71 | - |
| Adjustments | 0 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 321 | - |
| Settlements | 1 | - |
| Avg Days in Trade | 3.08 | 2342 |
| Cumulative Return | 195.58% | 76.3% |
| CAGR | 18.4% | 9.24% |
| Max Drawdown from Peak |
-31.99% | -33.71% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 1.16 | 0.54 |
| Alpha | 0.13 | - |
| Beta | 0.21 | - |
| Kelly Criterion | 4.69 | -3.91 |
| Profit Factor | 1.93 | 1.11 |
| Probabilistic Sharpe | 98.02% | 92.98% |
| Annual Volatility | 12.92% | 16.17% |
| Omega | 1.93 | - |
| Information ratio | 0.02 | - |
| Avg Drawdown | -0.56% | -1.73% |
| Avg Drawdown Days | 7 | 17 |
| Avg Up Month | 2.69 | 3.27 |
| Avg Down Month | -4.82% | -5.94% |
| R^2 | 0.07 | 0.07 |
| Calmar | 0.58 | 0.27 |
| Treynor | 952.3 | - |