Enter-HighIV-2022

Finished
[Enter-HighIV]
SPX 2022-01-03 → 2022-12-30· 1.0 y ShortPut1 leg1 expirationMax positions 1
Finished 23-02-19 12:44Version MesoSim-2.4.0-0-g6ed4d42
Cumulative Return help 56.88% SPX -20.33%
CAGR help 57.66% SPX -20.53%
Win/Loss rate 3.57 wins / 2 losses
Trade Count 9Avg Days in Trade 30.44
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. 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.

Risk Graph at first entry

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Statistics

Metric StrategySPX
Trades
Trade Count 91
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 30.44361
Performance
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/AN/A
Sharpe 1.31-0.85
Alpha 0.77-
Beta 1.17-
Kelly Criterion 26.39-24.59
Profit Factor 1.380.87
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 10360
Avg Up Month 8.675.83
Avg Down Month -4.28%-6.97%
R^2 0.460.46
Calmar 2.86-0.81
Treynor 48.55-

Next steps

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