Name | [Enter-EMACross] / Enter-EMACross-2022 |
Period | 2022-01-03 - 2022-12-30 |
Version | MesoSim-2.4.0-0-g6ed4d42 |
Symbol | SPX |
Cash | $10000 |
Structure | ShortPut |
Max number of positions in flight | 1 |
Expirations | 1 |
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 | -33.01% | -25.39% |
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% |
Smart Sharpe | 1.13 | -0.81 |
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 | 7.3900 | 5.8300 |
Avg Down Month | -8.82% | -6.5% |
R^2 | 0.36 | 0.36 |
Calmar | 2.14 | -0.81 |
Treynor | 46.07 | - |