| Name | [GLD-Short-Put] / GLD-PutWrite |
| Period | 2020-01-02 - 2025-06-18 |
| Version | MesoSim-2.13.3-0-gff785e7c |
| Symbol | GLD |
| Cash | $100000 |
| Structure | Short Put |
| Max number of positions in flight | 10 |
| Expirations | 1 |
| Legs | 1 |
| Metric | Strategy | GLD |
|---|---|---|
| Trade Count | 647 | 1 |
| 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 | 14.18 | 1994 |
| Cumulative Return | 47.07% | 115.55% |
| CAGR | 7.32% | 15.09% |
| Max Drawdown | -8.1% | -21.83% |
| Sharpe | 1.08 | 0.97 |
| Alpha | 0.02 | - |
| Beta | 0.32 | - |
| Kelly Criterion | 20.99 | -3.29 |
| Profit Factor | 1.28 | 1.18 |
| Probabilistic Sharpe | 99.27% | 98.8% |
| Smart Sharpe | 1 | 0.9 |
| Annual Volatility | 6.75% | 15.79% |
| Omega | 1.28 | - |
| Information ratio | -0.04 | - |
| Avg Drawdown | -0.63% | -2.56% |
| Avg Drawdown Days | 10 | 41 |
| Avg Up Month | 1.3000 | 4.0600 |
| Avg Down Month | -1.81% | -3.96% |
| R^2 | 0.56 | 0.56 |
| Calmar | 0.9 | 0.69 |
| Treynor | 146.52 | - |