Name | [Strangle-Campaign] / Strangle-Campaign |
Period | 2021-01-04 - 2021-12-30 |
Version | MesoSim-2.1.0-0-gf076bfa |
Symbol | SPX |
Cash | $40000 |
Structure | ShortStrangle |
Max number of positions in flight | 4 |
Expirations | 1 |
Legs | 2 |
Metric | Strategy | SPX |
---|---|---|
Trade Count | 96 | 1 |
Win/Loss rate | 66 / 30 = 2.2 | |
Adjustments | 76 | |
PT Hits | 0 | |
SL Hits | 0 | |
Max DIT Reaches | 96 | |
Settlements | 0 | |
Avg Days in Trade | 10.41 | 360 |
Cumulative Return | 37.77% | 29.93% |
CAGR | 38.38% | 30.41% |
Max Drawdown | -13.45% | -5.43% |
Sharpe | 1.38 | 2.07 |
Alpha | 0.01 | - |
Beta | 1.26 | - |
Kelly Criterion | 4.29 | 9.77 |
Profit Factor | 1.32 | 1.42 |
Probabilistic Sharpe | 90.29% | 97.69% |
Smart Sharpe | 1.11 | 1.66 |
Annual Volatility | 25.71% | 13.12% |
Omega | 1.32 | - |
Information ratio | 0.03 | - |
Avg Drawdown | -3.21% | -1.25% |
Avg Drawdown Days | 13 | 8 |
Avg Up Month | 6.9500 | 3.2900 |
Avg Down Month | -7.34% | -1.34% |
R^2 | 0.41 | 0.41 |
Calmar | 2.85 | 5.6 |
Treynor | 29.98 | - |