| Name | Portfolio-Opt / QuantPedia-SeasonalityIndex-VRP-compounding |
| Period | 2020-07-01 - 2024-06-28 |
| Version | MesoSim-2.11.39-0-g895393d |
| Symbol | SPX |
| Cash | $25000 |
| Structure | Short Put |
| Max number of positions in flight | 1 |
| Expirations | 1 |
| Legs | 1 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 111 | 1 |
| 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 | 4.59 | 1458 |
| Cumulative Return | 197.53% | 75.9% |
| CAGR | 31.39% | 15.19% |
| Max Drawdown | -16.77% | -27.16% |
| Sharpe | 1.85 | 0.93 |
| Alpha | 0.24 | - |
| Beta | 0.31 | - |
| Kelly Criterion | 28.28 | -1.61 |
| Profit Factor | 1.77 | 1.12 |
| Probabilistic Sharpe | 99.91% | 96.8% |
| Smart Sharpe | 1.71 | 0.86 |
| Annual Volatility | 15.38% | 16.7% |
| Omega | 1.77 | - |
| Information ratio | 0.03 | - |
| Avg Drawdown | -0.62% | -1.35% |
| Avg Drawdown Days | 5 | 13 |
| Avg Up Month | 3.4600 | 4.3500 |
| Avg Down Month | -5.67% | -5.56% |
| R^2 | 0.12 | 0.12 |
| Calmar | 1.87 | 0.56 |
| Treynor | 627.6 | - |