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Ademscodeisnotsobad

Quant Companion MCP

options_put_selling_2015-2025.json20.6 kB
{ "strategy": "put_selling", "config": { "initialCapital": 100000, "riskFreeRate": 0.04, "daysToExpiration": 30, "targetDelta": 0.3, "optionSlippagePct": 0.02, "commissionPerContract": 0.65, "positionSizing": "percent_of_capital", "capitalPercentage": 0.25 }, "period": { "start": "2015-01-01", "end": "2025-12-01" }, "finalCapital": 1061935.4991502815, "riskMetrics": { "totalReturn": 9.619354991502815, "annualizedReturn": 0.24945317987441173, "annualizedVol": 0.08154043947205772, "sharpe": 3.0592572408184573, "sortino": 331.7545240779229, "maxDrawdown": 0.002467157169350527, "sampleSize": 2713, "isReliable": true }, "stats": { "totalTrades": 183, "winningTrades": 58, "losingTrades": 33, "winRate": 0.31693989071038253, "totalPremiumCollected": 965559.5667206554, "totalAssignments": 91, "avgDaysHeld": 14.825136612021858, "avgPremiumPerTrade": 5276.281785358773 }, "tradesSample": [ { "tradeNum": 1, "date": "2015-02-17", "action": "SELL_PUT", "strike": 272.7139984130859, "premium": 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"contracts": 1, "stockPrice": 207.9499969482422, "iv": 0.11777502800741897, "delta": 0, "daysToExp": 0, "pnl": -469.3233113599563, "equityAfter": 123020.22257357092 }, { "tradeNum": 9, "date": "2015-08-07", "action": "SELL_PUT", "strike": 270.85500793457027, "premium": 60.38366218038498, "contracts": 1, "stockPrice": 208.35000610351562, "iv": 0.11777502800741897, "delta": -0.9999999999999903, "daysToExp": 30, "pnl": 0, "equityAfter": 129057.93879160943 }, { "tradeNum": 10, "date": "2015-09-21", "action": "ASSIGNED", "strike": 270.85500793457027, "premium": 60.38366218038498, "contracts": 1, "stockPrice": 196.4600067138672, "iv": 0.36477840950476265, "delta": 0, "daysToExp": 0, "pnl": -1401.1339040318098, "equityAfter": 127656.80488757761 }, { "tradeNum": 11, "date": "2015-09-21", "action": "SELL_PUT", "strike": 254.0849960327148, "premium": 56.6939522936031, "contracts": 1, "stockPrice": 195.4499969482422, "iv": 0.36477840950476265, "delta": -0.9923467843205764, "daysToExp": 30, "pnl": 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"premium": 58.80414869309285, "contracts": 1, "stockPrice": 202.89999389648438, "iv": 0.17497670503460508, "delta": -0.9999998620034822, "daysToExp": 30, "pnl": 0, "equityAfter": 146029.04829485202 }, { "tradeNum": 16, "date": "2016-01-29", "action": "ASSIGNED", "strike": 263.7699920654296, "premium": 58.80414869309285, "contracts": 1, "stockPrice": 193.72000122070312, "iv": 0.23847525821877638, "delta": 0, "daysToExp": 0, "pnl": -1124.5842151633642, "equityAfter": 144904.46407968865 }, { "tradeNum": 17, "date": "2016-01-29", "action": "SELL_PUT", "strike": 245.843000793457, "premium": 54.80781103500467, "contracts": 1, "stockPrice": 189.11000061035156, "iv": 0.23847525821877638, "delta": -0.999913377468685, "daysToExp": 30, "pnl": 0, "equityAfter": 150384.5951831891 }, { "tradeNum": 18, "date": "2016-03-14", "action": "ASSIGNED", "strike": 245.843000793457, "premium": 54.80781103500467, "contracts": 1, "stockPrice": 202.5, "iv": 0.18401344742732145, "delta": 0, "daysToExp": 0, "pnl": 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271.193000793457, "premium": 60.45901336833613, "contracts": 1, "stockPrice": 212.3699951171875, "iv": 0.11556573434502782, "delta": 0, "daysToExp": 0, "pnl": 163.60076920666506, "equityAfter": 164025.19385797062 }, { "tradeNum": 23, "date": "2016-06-08", "action": "SELL_PUT", "strike": 275.18399047851557, "premium": 61.34875350918005, "contracts": 1, "stockPrice": 211.67999267578125, "iv": 0.11556573434502782, "delta": -0.9999999999999969, "daysToExp": 30, "pnl": 0, "equityAfter": 170159.41920888863 }, { "tradeNum": 24, "date": "2016-07-21", "action": "ASSIGNED", "strike": 275.18399047851557, "premium": 61.34875350918005, "contracts": 1, "stockPrice": 216.27000427246094, "iv": 0.22260960088895915, "delta": 0, "daysToExp": 0, "pnl": 243.4767303125418, "equityAfter": 170402.89593920117 }, { "tradeNum": 25, "date": "2016-07-21", "action": "SELL_PUT", "strike": 282.21699523925776, "premium": 62.916756448640015, "contracts": 1, "stockPrice": 217.08999633789062, "iv": 0.22260960088895915, 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