Name | [ETHUSD-Short-Put] / ETHUSD-Short-Put-2022 |
Period | 2021-12-31 - 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 | 6.8 | 363 |
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 | - |