| Name | QuantPedia - Composite Seasonal / VRP-ShortPut-SL-Delta |
| 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 | - |