Name | QuantPedia - Composite Seasonal / VRP-ShortPut-SL-Moneyness |
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 | 321 | 1 |
Win/Loss rate | 307 / 14 = 21.93 | |
Adjustments | 0 | |
PT Hits | 0 | |
SL Hits | 0 | |
Max DIT Reaches | 254 | |
Settlements | 61 | |
Avg Days in Trade | 2.94 | 4377 |
Cumulative Return | 145.99% | 274.32% |
CAGR | 7.79% | 11.64% |
Max Drawdown | -5.3% | -33.47% |
Sharpe | 1.87 | 0.78 |
Alpha | 0.07 | - |
Beta | 0.09 | - |
Kelly Criterion | 29.01 | -6.44 |
Profit Factor | 1.83 | 1.11 |
Probabilistic Sharpe | 100% | 99.62% |
Smart Sharpe | 1.68 | 0.71 |
Annual Volatility | 4.07% | 15.64% |
Omega | 1.83 | - |
Information ratio | -0.01 | - |
Avg Drawdown | -0.19% | -1.33% |
Avg Drawdown Days | 3 | 13 |
Avg Up Month | 0.8100 | 3.2700 |
Avg Down Month | -1.67% | -5.92% |
R^2 | 0.12 | 0.12 |
Calmar | 1.47 | 0.35 |
Treynor | 1656.02 | - |