| Name | [ThetaEngine-VolatilityHedged] / TrainedTakin |
| Period | 2021-01-04 - 2021-12-30 |
| Version | MesoSim-2.10.22-0-g58f48da |
| Symbol | SPX |
| Cash | $50000 |
| Structure | ThetaEngine |
| Max number of positions in flight | 4 |
| Expirations | 1 |
| Legs | 1 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 31 | 1 |
| Win/Loss rate | 31 / 0 = ∞ | |
| Adjustments | 0 | |
| PT Hits | 31 | |
| SL Hits | 0 | |
| Max DIT Reaches | 0 | |
| Settlements | 0 | |
| Avg Days in Trade | 33.9 | 360 |
| Cumulative Return | 168.59% | 30.57% |
| CAGR | 172.31% | 31.06% |
| Max Drawdown | -26.97% | -5.55% |
| Sharpe | 1.37 | 1.2 |
| Alpha | 0.1 | - |
| Beta | 2.91 | - |
| Kelly Criterion | 17.74 | 10.62 |
| Profit Factor | 1.44 | 1.3 |
| Probabilistic Sharpe | 98.94% | 97.93% |
| Smart Sharpe | 1.31 | 1.14 |
| Annual Volatility | 26.73% | 7.69% |
| Omega | 1.44 | - |
| Information ratio | 0.08 | - |
| Avg Drawdown | -1.7% | -0.67% |
| Avg Drawdown Days | 2 | 3 |
| Avg Up Month | 13.4100 | 3.1900 |
| Avg Down Month | -3.58% | -4.44% |
| R^2 | 0.7 | 0.7 |
| Calmar | 6.39 | 5.6 |
| Treynor | 57.87 | - |