Name | [ShortPut-HighIV] / ShortPut-HighIV |
Period | 2021-01-04 - 2021-12-30 |
Version | MesoSim-2.1.0-0-gf076bfa |
Symbol | SPX |
Cash | $10000 |
Structure | ShortPut |
Max number of positions in flight | 1 |
Expirations | 1 |
Legs | 1 |
Metric | Strategy | SPX |
---|---|---|
Trade Count | 1 | 1 |
Win/Loss rate | 1 / 0 = ∞ | |
Adjustments | 0 | |
PT Hits | 0 | |
SL Hits | 0 | |
Max DIT Reaches | 1 | |
Settlements | 0 | |
Avg Days in Trade | 30 | 360 |
Cumulative Return | 14.87% | 29.93% |
CAGR | 15.09% | 30.41% |
Max Drawdown | -6.82% | -5.43% |
Sharpe | 1.07 | 2.07 |
Alpha | 0.08 | - |
Beta | 0.27 | - |
Kelly Criterion | 44.66 | 14.55 |
Profit Factor | 2.34 | 1.42 |
Probabilistic Sharpe | 88.35% | 97.69% |
Smart Sharpe | 0.96 | 1.85 |
Annual Volatility | 13.82% | 13.12% |
Omega | 2.34 | - |
Information ratio | -0.05 | - |
Avg Drawdown | -2.2% | -1.25% |
Avg Drawdown Days | 2 | 8 |
Avg Up Month | 17.2500 | 5.4900 |
Avg Down Month | -2.03% | -1.34% |
R^2 | 0.07 | 0.07 |
Calmar | 2.21 | 5.6 |
Treynor | 55.07 | - |