- Strategy Overview
- Position Monitor
- Full Tearsheet
- Analytics
- Margin Report
- Events
- Strategy Definition
| Name | [ShortPut-HighIV] / ShortPut-HighIV |
| Period | 2021-01-04 - 2021-12-30 |
| Version | MesoSim-2.1.0-0-gf076bfa |
| Symbol | SPX |
| Cash | |
| 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 | - |