GLD-PutWrite

Finished
[GLD-Short-Put]
GLD 2020-01-02 → 2025-06-18· 5.5 y Short Put1 leg1 expirationMax positions 10
Finished 25-06-19 06:23Version MesoSim-2.13.3-0-gff785e7c
Cumulative Return help 47.07% GLD 115.55%
CAGR help 7.32% GLD 15.09%
Win/Loss rate 7.19568 wins / 79 losses
Trade Count 647Avg Days in Trade 14.18
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 GLD drawdown to compare. Click a legend entry to hide its series.

Risk Graph at first entry

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Statistics

Metric StrategyGLD
Trades
Trade Count 6471
Win/Loss rate 568 / 79 = 7.19-
Adjustments 0-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 379-
Settlements 229-
Avg Days in Trade 14.181994
Performance
Cumulative Return 47.07%115.55%
CAGR 7.32%15.09%
Max Drawdown
from Peak		 -8.1%-21.83%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 1.080.97
Alpha 0.02-
Beta 0.32-
Kelly Criterion 20.99-3.29
Profit Factor 1.281.18
Probabilistic Sharpe 99.27%98.8%
Annual Volatility 6.75%15.79%
Omega 1.28-
Information ratio -0.04-
Avg Drawdown -0.63%-2.56%
Avg Drawdown Days 1041
Avg Up Month 1.34.06
Avg Down Month -1.81%-3.96%
R^2 0.560.56
Calmar 0.90.69
Treynor 146.52-

Next steps

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