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- Strategy Definition
| Name | [Strangle-Campaign] / Strangle-Campaign |
| Period | 2021-01-04 - 2021-12-30 |
| Version | MesoSim-2.1.0-0-gf076bfa |
| Symbol | SPX |
| Cash | |
| 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 | - |