spb/wp7_uqo

1sort_variable,holding_days,n_formation_dates,avg_n_long,avg_n_short,avg_daily_turnover,breakeven_cost_bps,mean_daily_bps,ann_return_pct,ann_vol_pct,sharpe,t_nw,t_iid,pct_positive,max_drawdown_pct,n_days2ATM IV (30d),1,3777,9.05665872385491,9.241461477362986,0.4946844671229103,11.132274595486194,5.506963326134,13.87754758185768,25.552488348717155,0.5430996540324963,2.1551972133216726,2.102581060864931,0.5316388668255229,-71.87583501606194,37773ATM IV (30d),5,3777,9.05665872385491,9.241461477362986,0.19991519248700235,26.975075765867242,5.392727464084821,13.58967320949375,25.06298146118683,0.5422209337120991,2.187160642252111,2.142363635081192,0.5338078291814946,-75.45719752300447,39344Volatility Skew (25d),1,3778,8.697458973001588,8.891212281630493,1.3021566913176232,0.9395761304929658,1.2234753453237357,3.0831578702158144,19.69935010184434,0.15651063889296304,0.6292482042770128,0.6060027161114747,0.5089994706193753,-53.808416841803286,37785Volatility Skew (25d),5,3778,8.697458973001588,8.891212281630493,0.38943962526956943,5.017567782718793,1.9540397170666708,4.92418008700801,18.013909503780237,0.27335432577668206,1.1174298413110388,1.0800475057775019,0.5104219623792577,-61.040419552823344,39346Implied Skewness,1,3777,8.764363251257612,8.960021180831347,1.1800677450399453,-2.8009597659780967,-3.3053222749853854,-8.32941213296317,17.912979278647555,-0.46499312054092046,-1.8210506609190085,-1.8001958230364172,0.46783161239078636,-153.83813693142523,37777Implied Skewness,5,3777,8.764363251257612,8.960021180831347,0.3475344372624494,-9.960010038454106,-3.461446483842495,-8.722845139283088,16.86463692550281,-0.5172269748714452,-2.0859330868358215,-2.0436102576519017,0.47127605490594815,-163.46123054184397,39348Implied Kurtosis,1,3777,9.056923484246756,9.24066719618745,1.2695784005950805,-2.45270686253143,-3.1139036556612303,-7.8470372122663,18.300397279621528,-0.4287905389356983,-1.6476414137043989,-1.6600394781144912,0.47736298649722003,-141.74069567257988,37779Implied Kurtosis,5,3777,9.056923484246756,9.24066719618745,0.38806094541414826,-6.149788270320103,-2.3864926502772588,-6.013961478698692,17.025616699654755,-0.35323016985461936,-1.4106052771668798,-1.3956441436691123,0.4816980172852059,-112.19756977135746,393410Put-Call Volume Ratio,1,4024,9.619284294234593,9.733598409542743,2.3166224872984316,1.0681244750223442,2.4744411780705944,6.2355917687378986,12.035122043654784,0.5181162057285043,2.0873141177186616,2.070407785362058,0.5233598409542743,-23.19648320189267,402411Put-Call Volume Ratio,5,4024,9.619284294234593,9.733598409542743,0.5128916105778072,3.796515838095521,1.947201122784965,4.906946829418112,8.622904733099935,0.5690596128914978,2.2868160771084534,2.275109084862103,0.5188679245283019,-18.745039847618607,402812Put-Call OI Ratio,1,4024,9.619284294234593,9.733349900596421,0.28811574994477585,7.067249800741024,2.036185976387568,5.1311886604966706,13.284148089423587,0.3862640363503595,1.556233516285928,1.5435225905367975,0.5129224652087475,-37.86774876467447,402413Put-Call OI Ratio,5,4024,9.619284294234593,9.733349900596421,0.14192761778660487,14.603400373273509,2.0726258265627258,5.223017082938068,12.658043240023778,0.4126243672816097,1.660603945843275,1.649678566833843,0.5124131082423039,-38.32179199506835,402814IV Term Structure Slope,1,2676,6.470104633781764,6.67152466367713,1.0446573896125466,-1.833163960087473,-1.9150282772767782,-4.8258712587374815,20.460466759541166,-0.23586320465964303,-0.791672208360286,-0.7686045996494033,0.5067264573991032,-65.14696349308072,267615IV Term Structure Slope,5,2676,6.470104633781764,6.67152466367713,0.44838728068760014,-2.9281730261822694,-1.3129555405926487,-3.308647962293475,18.535790760511876,-0.17850050235472686,-0.6859185386131147,-0.659792969635545,0.4975312227708394,-67.95692466211531,344316