ThetaEngine-2022
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Strategy:
[ThetaEngine]
SPXdate_range
Period:
2022-01-03 → 2022-12-30· 1.0 ystacked_line_chart
Structure:
ThetaEngineformat_list_bulleted1 legevent1 expirationlayersMax positions 4
Finished
23-02-19 12:46Version
MesoSim-2.4.0-0-g6ed4d42
Cumulative Return help
-83.61%
SPX -20.04%
CAGR help
-83.93%
SPX -20.24%
Win/Loss rate
4.527 wins / 6 losses
Trade Count
33Avg Days in Trade 38.88
info
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. A series that closes at zero or below is shifted up by its lowest value first. Drawdown is the strategy's, from its peak on every NAV row; click SPX drawdown to compare. Click a legend entry to hide its series.
area_chartRisk Graph at first entry
table_chartStatistics
| Metric | Strategy | SPX |
|---|---|---|
| Trades | ||
| Trade Count | 33 | 1 |
| Win/Loss rate | 27 / 6 = 4.5 | - |
| Adjustments | 0 | - |
| PT Hits | 27 | - |
| SL Hits | 6 | - |
| Max DIT Reaches | 0 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 38.88 | 361 |
| Performance | ||
| Cumulative Return | -83.61% | -20.04% |
| CAGR | -83.93% | -20.24% |
| Max Drawdown from Peak |
-637.83% | -27.16% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 1.53 | -0.82 |
| Alpha | 516.54 | - |
| Beta | 50.41 | - |
| Kelly Criterion | 38.77 | 5.84 |
| Profit Factor | 6.72 | 0.88 |
| Probabilistic Sharpe | 99.98% | 20.85% |
| Annual Volatility | 33176.66% | 24.08% |
| Omega | 6.72 | - |
| Information ratio | 0.1 | - |
| Avg Drawdown | -361.65% | -27.16% |
| Avg Drawdown Days | 179 | 360 |
| Avg Up Month | N/A | N/A |
| Avg Down Month | -91.69% | -6% |
| R^2 | 0 | 0 |
| Calmar | -0.13 | -0.75 |
| Treynor | -1.66 | - |