Adjusting

Results removed
[SPX-Strangle-Adjusting]
SPX 2022-01-03 → 2023-12-29· 2.0 y Short Strangle2 legs1 expirationMax positions 1
Finished 24-11-25 09:05Version MesoSim-2.12.4-0-g278eb1a3
Cumulative Return help 19.93% SPX -0.35%
CAGR help 9.58% SPX -0.17%
Win/Loss rate 315 wins / 5 losses
Trade Count 20Avg Days in Trade 34.25

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Strategy

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Statistics

Metric StrategySPX
Trades
Trade Count 201
Win/Loss rate 15 / 5 = 3-
Adjustments 95-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 1-
Settlements 0-
Avg Days in Trade 34.25725
Performance
Cumulative Return 19.93%-0.35%
CAGR 9.58%-0.17%
Max Drawdown
from Peak		 -5.56%-25.39%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 1.320.09
Alpha 0.09-
Beta 0.14-
Kelly Criterion 7.46-32.66
Profit Factor 1.291.01
Probabilistic Sharpe 95.24%54.82%
Annual Volatility 7.15%19.08%
Omega 1.29-
Information ratio 0.03-
Avg Drawdown -0.78%-25.39%
Avg Drawdown Days 12724
Avg Up Month 1.284.94
Avg Down Month -2.17%-4.72%
R^2 0.140.14
Calmar 1.72-0.01
Treynor 142.61-

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