Name | [SPX-Short-Put] / VolZilla |
Period | 2024-01-02 - 2024-09-05 |
Version | MesoSim-2.11.55-0-gb04f4285 |
Symbol | SPX |
Cash | $30000 |
Structure | Short Put |
Max number of positions in flight | 1 |
Expirations | 1 |
Legs | 1 |
Metric | Strategy | SPX |
---|---|---|
Trade Count | 7 | 1 |
Win/Loss rate | 6 / 1 = 6 | |
Adjustments | 0 | |
PT Hits | 0 | |
SL Hits | 0 | |
Max DIT Reaches | 7 | |
Settlements | 0 | |
Avg Days in Trade | 30.43 | 247 |
Cumulative Return | 14.93% | 16.39% |
CAGR | 22.83% | 25.15% |
Max Drawdown | -38.88% | -8.54% |
Sharpe | 0.64 | 1.72 |
Alpha | -0.25 | - |
Beta | 2.74 | - |
Kelly Criterion | 23.5 | 1.88 |
Profit Factor | 1.31 | 1.37 |
Probabilistic Sharpe | 70.39% | 90.67% |
Smart Sharpe | 0.41 | 1.1 |
Annual Volatility | 60.8% | 13.53% |
Omega | 1.31 | - |
Information ratio | 0.02 | - |
Avg Drawdown | -2.16% | -1.5% |
Avg Drawdown Days | 5 | 10 |
Avg Up Month | 3.9300 | 3.5800 |
Avg Down Month | -3.67% | -0.62% |
R^2 | 0.37 | 0.37 |
Calmar | 0.59 | 2.95 |
Treynor | 5.45 | - |