Name[Strangle-Campaign] / Strangle-Campaign
Period2021-01-04 - 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 10.41360
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 -
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