| Strategy | [SPX-Strangle-Adjusting] / SPX-Strangle-Adjusting-2022 | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2022-01-03 to 2022-12-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.5.0-0-gaa0ecb4 | Structure | Short Strangle | Legs | 2 |
| Strategy | [SPX-Strangle-Adjusting] / SPX-Strangle-Adjusting-2022 |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2022-01-03 to 2022-12-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.5.0-0-gaa0ecb4 |
| Structure | Short Strangle |
| Legs | 2 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 16 | 1 |
| Win/Loss rate | 9 / 7 = 1.29 | - |
| Adjustments | 77 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 1 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 22.06 | 361 |
| Cumulative Return | 78.43% | -20.33% |
| CAGR | 79.58% | -20.53% |
| Max Drawdown from Peak |
-55.07% | -25.39% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 1.06 | -0.85 |
| Alpha | 1.58 | - |
| Beta | 1.42 | - |
| Kelly Criterion | 7.68 | -24.97 |
| Profit Factor | 1.29 | 0.87 |
| Probabilistic Sharpe | 86.51% | 19.91% |
| Annual Volatility | 122.17% | 23.72% |
| Omega | 1.29 | - |
| Information ratio | 0.08 | - |
| Avg Drawdown | -9.86% | -25.39% |
| Avg Drawdown Days | 17 | 360 |
| Avg Up Month | 41.72 | 5.83 |
| Avg Down Month | -22.74% | -5.27% |
| R^2 | 0.08 | 0.08 |
| Calmar | 1.44 | -0.81 |
| Treynor | 55.22 | - |