| Strategy | [Enter-EMACross] / Enter-EMACross-2022 | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2022-01-03 to 2022-12-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.4.0-0-g6ed4d42 | Structure | ShortPut | Legs | 1 |
| Strategy | [Enter-EMACross] / Enter-EMACross-2022 |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2022-01-03 to 2022-12-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.4.0-0-g6ed4d42 |
| Structure | ShortPut |
| Legs | 1 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 9 | 1 |
| Win/Loss rate | 8 / 1 = 8 | - |
| Adjustments | 0 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 9 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 30.78 | 361 |
| Cumulative Return | 69.75% | -20.33% |
| CAGR | 70.75% | -20.53% |
| Max Drawdown from Peak |
-33.01% | -25.39% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 1.19 | -0.85 |
| Alpha | 1.01 | - |
| Beta | 1.51 | - |
| Kelly Criterion | 26.31 | -21.59 |
| Profit Factor | 1.4 | 0.87 |
| Probabilistic Sharpe | 88.94% | 19.9% |
| Annual Volatility | 59.39% | 23.62% |
| Omega | 1.4 | - |
| Information ratio | 0.12 | - |
| Avg Drawdown | -3.76% | -25.39% |
| Avg Drawdown Days | 7 | 360 |
| Avg Up Month | 7.39 | 5.83 |
| Avg Down Month | -8.82% | -6.5% |
| R^2 | 0.36 | 0.36 |
| Calmar | 2.14 | -0.81 |
| Treynor | 46.07 | - |