Weekday Short Put 16-22 Mon-Fri

Finished
Weekday-ShortPut
SPX 2016-08-01 → 2022-12-30· 6.4 y ShortPut1 leg1 expirationMax positions 1
Finished 23-09-19 11:47Version MesoSim-2.10.3-0-g732a118
Cumulative Return help 368.05% SPX 76.3%
CAGR help 27.19% SPX 9.24%
Win/Loss rate 15.22274 wins / 18 losses
Trade Count 292Avg Days in Trade 4.73
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. A series that closes at zero or below is shifted up by its lowest value first. 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

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Statistics

Metric StrategySPX
Trades
Trade Count 2921
Win/Loss rate 274 / 18 = 15.22-
Adjustments 0-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 284-
Settlements 8-
Avg Days in Trade 4.732342
Performance
Cumulative Return 368.05%76.3%
CAGR 27.19%9.24%
Max Drawdown
from Peak		 -122.08%-34.44%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 0.410.53
Alpha 1.36-
Beta 4.26-
Kelly Criterion 33.75-14.53
Profit Factor 1.821.11
Probabilistic Sharpe 97.96%92.63%
Annual Volatility 426.48%16.67%
Omega 1.82-
Information ratio 0.02-
Avg Drawdown -1.48%-1.71%
Avg Drawdown Days 1117
Avg Up Month 11.543.98
Avg Down Month -45.83%-6.87%
R^2 0.030.03
Calmar 0.220.27
Treynor 86.33-

Next steps

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