QuantPedia-SeasonalityIndex-VRP-compounding

Finished
Portfolio-Opt
SPX 2020-07-01 → 2024-06-28· 4.0 y Short Put1 leg1 expirationMax positions 1
Finished 24-06-30 17:50Version MesoSim-2.11.39-0-g895393d
Cumulative Return help 197.53% SPX 75.9%
CAGR help 31.39% SPX 15.19%
Win/Loss rate 17.5105 wins / 6 losses
Trade Count 111Avg Days in Trade 4.59
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. 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 1111
Win/Loss rate 105 / 6 = 17.5-
Adjustments 0-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 109-
Settlements 0-
Avg Days in Trade 4.591458
Performance
Cumulative Return 197.53%75.9%
CAGR 31.39%15.19%
Max Drawdown
from Peak		 -16.77%-27.16%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 1.850.93
Alpha 0.24-
Beta 0.31-
Kelly Criterion 28.28-1.61
Profit Factor 1.771.12
Probabilistic Sharpe 99.91%96.8%
Annual Volatility 15.38%16.7%
Omega 1.77-
Information ratio 0.03-
Avg Drawdown -0.62%-1.35%
Avg Drawdown Days 513
Avg Up Month 3.464.35
Avg Down Month -5.67%-5.56%
R^2 0.120.12
Calmar 1.870.56
Treynor 627.6-

Next steps

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