VRP-ShortPut-SL-CreditReceived

Finished
QuantPedia - Composite Seasonal
SPX 2012-01-04 → 2023-12-29· 12.0 y Short Put1 leg1 expirationMax positions 1
Finished 24-02-27 10:29Version MesoSim-2.10.51-0-g1ec42f1
Cumulative Return help 116.32% SPX 274.32%
CAGR help 6.65% SPX 11.64%
Win/Loss rate 10.17295 wins / 29 losses
Trade Count 324Avg Days in Trade 2.85
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. Drawdown is measured on every NAV row. Click a legend entry to hide its series.

Risk Graph at first entry

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Statistics

Metric StrategySPX
Trades
Trade Count 3241
Win/Loss rate 295 / 29 = 10.17-
Adjustments 0-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 243-
Settlements 59-
Avg Days in Trade 2.854377
Performance
Cumulative Return 116.32%274.32%
CAGR 6.65%11.64%
Max Drawdown
from Peak		 -5.12%-33.47%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 1.670.78
Alpha 0.05-
Beta 0.09-
Kelly Criterion 25.88-7.17
Profit Factor 1.721.11
Probabilistic Sharpe 100%99.62%
Annual Volatility 3.91%15.64%
Omega 1.72-
Information ratio -0.02-
Avg Drawdown -0.22%-1.33%
Avg Drawdown Days 613
Avg Up Month 0.823.31
Avg Down Month -1.46%-5.42%
R^2 0.120.12
Calmar 1.30.35
Treynor 1361.56-

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