| Strategy | [SPX-Short-Put] / 25pt Multiples | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2024-01-02 to 2024-11-29 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.12.6-0-g03671375 | Structure | Short Put | Legs | 1 |
| Strategy | [SPX-Short-Put] / 25pt Multiples |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2024-01-02 to 2024-11-29 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.12.6-0-g03671375 |
| Structure | Short Put |
| Legs | 1 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 10 | 1 |
| Win/Loss rate | 9 / 1 = 9 | - |
| Adjustments | 198 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 10 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 30.5 | 332 |
| Cumulative Return | 87.91% | 27.76% |
| CAGR | 100.49% | 31.02% |
| Max Drawdown from Peak |
-51.07% | -8.54% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 1.45 | 2.22 |
| Alpha | -0.23 | - |
| Beta | 4.1 | - |
| Kelly Criterion | 19.32 | 5.93 |
| Profit Factor | 1.38 | 1.47 |
| Probabilistic Sharpe | 88.77% | 98.08% |
| Annual Volatility | 62.26% | 12.42% |
| Omega | 1.38 | - |
| Information ratio | 0.07 | - |
| Avg Drawdown | -5.48% | -1.35% |
| Avg Drawdown Days | 12 | 10 |
| Avg Up Month | 13.35 | 3.35 |
| Avg Down Month | -9.6% | -1.82% |
| R^2 | 0.67 | 0.67 |
| Calmar | 1.97 | 3.63 |
| Treynor | 21.42 | - |