| Strategy | [Enter-HighIV] / Enter-HighIV-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-HighIV] / Enter-HighIV-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 | 7 / 2 = 3.5 | - |
| Adjustments | 0 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 9 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 30.44 | 361 |
| Cumulative Return | 56.88% | -20.33% |
| CAGR | 57.66% | -20.53% |
| Max Drawdown from Peak |
-20.13% | -25.39% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 1.31 | -0.85 |
| Alpha | 0.77 | - |
| Beta | 1.17 | - |
| Kelly Criterion | 26.39 | -24.59 |
| Profit Factor | 1.38 | 0.87 |
| Probabilistic Sharpe | 89.87% | 19.89% |
| Annual Volatility | 40.81% | 23.62% |
| Omega | 1.38 | - |
| Information ratio | 0.15 | - |
| Avg Drawdown | -3.72% | -25.39% |
| Avg Drawdown Days | 10 | 360 |
| Avg Up Month | 8.67 | 5.83 |
| Avg Down Month | -4.28% | -6.97% |
| R^2 | 0.46 | 0.46 |
| Calmar | 2.86 | -0.81 |
| Treynor | 48.55 | - |