Name[ShortPut-HighIV] / ShortPut-HighIV
Period2021-01-04 - 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 30360
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 -
Need help? or reach out to [email protected] for assistance. 🗙