| Name | QuantPedia - Composite Seasonal / VRP-ShortPut |
| Period | 2012-01-04 - 2023-12-29 |
| Version | MesoSim-2.10.51-0-g1ec42f1 |
| Symbol | SPX |
| Cash | $50000 |
| Structure | Short Put |
| Max number of positions in flight | 1 |
| Expirations | 1 |
| Legs | 1 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 320 | 1 |
| Win/Loss rate | 308 / 12 = 25.67 | |
| Adjustments | 0 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 258 | |
| Settlements | 62 | |
| Avg Days in Trade | 2.95 | 4377 |
| Cumulative Return | 104.27% | 274.32% |
| CAGR | 6.14% | 11.64% |
| Max Drawdown | -22.77% | -33.47% |
| Sharpe | 0.88 | 0.78 |
| Alpha | 0.05 | - |
| Beta | 0.13 | - |
| Kelly Criterion | 19.21 | -7.42 |
| Profit Factor | 1.46 | 1.11 |
| Probabilistic Sharpe | 98.71% | 99.62% |
| Smart Sharpe | 0.87 | 0.77 |
| Annual Volatility | 7.04% | 15.64% |
| Omega | 1.46 | - |
| Information ratio | -0.02 | - |
| Avg Drawdown | -0.25% | -1.33% |
| Avg Drawdown Days | 5 | 13 |
| Avg Up Month | 0.9300 | 3.2700 |
| Avg Down Month | -5.56% | -7.13% |
| R^2 | 0.08 | 0.08 |
| Calmar | 0.27 | 0.35 |
| Treynor | 795.16 | - |