| Strategy | [SPX-Short-Put] / VolZilla | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2024-01-02 to 2024-09-05 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.11.55-0-gb04f4285 | Structure | Short Put | Legs | 1 |
| Strategy | [SPX-Short-Put] / VolZilla |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2024-01-02 to 2024-09-05 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.11.55-0-gb04f4285 |
| Structure | Short Put |
| Legs | 1 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 7 | 1 |
| Win/Loss rate | 6 / 1 = 6 | - |
| Adjustments | 0 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 7 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 30.43 | 247 |
| Cumulative Return | 14.93% | 16.39% |
| CAGR | 22.83% | 25.15% |
| Max Drawdown from Peak |
-38.88% | -8.54% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 0.64 | 1.72 |
| Alpha | -0.25 | - |
| Beta | 2.74 | - |
| Kelly Criterion | 23.5 | 1.88 |
| Profit Factor | 1.31 | 1.37 |
| Probabilistic Sharpe | 70.39% | 90.67% |
| Annual Volatility | 60.8% | 13.53% |
| Omega | 1.31 | - |
| Information ratio | 0.02 | - |
| Avg Drawdown | -2.16% | -1.5% |
| Avg Drawdown Days | 5 | 10 |
| Avg Up Month | 3.93 | 3.58 |
| Avg Down Month | -3.67% | -0.62% |
| R^2 | 0.37 | 0.37 |
| Calmar | 0.59 | 2.95 |
| Treynor | 5.45 | - |