| Name | QuantPedia - Composite Seasonal / VRP-ShortPut-SL-CreditReceived |
| 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 | 324 | 1 |
| Win/Loss rate | 295 / 29 = 10.17 | |
| Adjustments | 0 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 243 | |
| Settlements | 59 | |
| Avg Days in Trade | 2.85 | 4377 |
| Cumulative Return | 116.32% | 274.32% |
| CAGR | 6.65% | 11.64% |
| Max Drawdown | -5.12% | -33.47% |
| Sharpe | 1.67 | 0.78 |
| Alpha | 0.05 | - |
| Beta | 0.09 | - |
| Kelly Criterion | 25.88 | -7.17 |
| Profit Factor | 1.72 | 1.11 |
| Probabilistic Sharpe | 100% | 99.62% |
| Smart Sharpe | 1.52 | 0.71 |
| Annual Volatility | 3.91% | 15.64% |
| Omega | 1.72 | - |
| Information ratio | -0.02 | - |
| Avg Drawdown | -0.22% | -1.33% |
| Avg Drawdown Days | 6 | 13 |
| Avg Up Month | 0.8200 | 3.3100 |
| Avg Down Month | -1.46% | -5.42% |
| R^2 | 0.12 | 0.12 |
| Calmar | 1.3 | 0.35 |
| Treynor | 1361.56 | - |