Name[ETHUSD-Short-Put] / ETHUSD-Short-Put-2022
Period2021-12-31 - 2022-12-29
Version MesoSim-2.5.0-0-gaa0ecb4
Symbol ETHUSD
Cash 1.000
Structure Short Put
Max number of positions in flight 1
Expirations 1
Legs 1
Metric Strategy ETHUSD
Trade Count 45 1
Win/Loss rate 23 / 22 = 1.05
Adjustments 0
PT Hits 0
SL Hits 22
Max DIT Reaches 0
Settlements 0
Avg Days in Trade 6.8363
Cumulative Return -30.14% -67.43%
CAGR -30.28% -67.63%
Max Drawdown -36.48% -74.08%
Sharpe -0.98 -0.69
Alpha -0.1 -
Beta 0.24 -
Kelly Criterion -14.56 -16.02
Profit Factor 0.79 0.89
Probabilistic Sharpe 9.37% 20.33%
Smart Sharpe -0.97 -0.68
Annual Volatility 22.7% 73.32%
Omega 0.79 -
Information ratio 0.03 -
Avg Drawdown -18.29% -74.08%
Avg Drawdown Days 180 361
Avg Up Month 4.0400 23.0600
Avg Down Month -6.79% -22.86%
R^2 0.61 0.61
Calmar -0.83 -0.91
Treynor -124.76 -
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