TrainedTakin

Finished
[ThetaEngine-VolatilityHedged]
SPX 2021-01-04 → 2021-12-30· 1.0 y ThetaEngine1 leg1 expirationMax positions 4
Finished 23-10-25 09:01Version MesoSim-2.10.22-0-g58f48da
Cumulative Return help 168.59% SPX 30.57%
CAGR help 172.31% SPX 31.06%
Win/Loss rate 31 / 031 wins / 0 losses
Trade Count 31Avg Days in Trade 33.9
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. Drawdown is the strategy's, from its peak on every NAV row; click SPX drawdown to compare. Click a legend entry to hide its series.

Risk Graph at first entry

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Statistics

Metric StrategySPX
Trades
Trade Count 311
Win/Loss rate 31 / 0-
Adjustments 0-
PT Hits 31-
SL Hits 0-
Max DIT Reaches 0-
Settlements 0-
Avg Days in Trade 33.9360
Performance
Cumulative Return 168.59%30.57%
CAGR 172.31%31.06%
Max Drawdown
from Peak		 -26.97%-5.55%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 1.371.2
Alpha 0.1-
Beta 2.91-
Kelly Criterion 17.7410.62
Profit Factor 1.441.3
Probabilistic Sharpe 98.94%97.93%
Annual Volatility 26.73%7.69%
Omega 1.44-
Information ratio 0.08-
Avg Drawdown -1.7%-0.67%
Avg Drawdown Days 23
Avg Up Month 13.413.19
Avg Down Month -3.58%-4.44%
R^2 0.70.7
Calmar 6.395.6
Treynor 57.87-

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