| Strategy | Portfolio-Opt / WeekendEffect-compounding | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2020-07-01 to 2024-06-28 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.11.39-0-g895393d | Structure | Short Strangle | Legs | 2 |
| Strategy | Portfolio-Opt / WeekendEffect-compounding |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2020-07-01 to 2024-06-28 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.11.39-0-g895393d |
| Structure | Short Strangle |
| Legs | 2 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 200 | 1 |
| Win/Loss rate | 167 / 33 = 5.06 | - |
| Adjustments | 0 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 199 | - |
| Settlements | 2 | - |
| Avg Days in Trade | 3.09 | 1458 |
| Cumulative Return | 72.66% | 75.86% |
| CAGR | 14.65% | 15.18% |
| Max Drawdown from Peak |
-12.56% | -27.3% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 1.62 | 0.93 |
| Alpha | 0.14 | - |
| Beta | 0.01 | - |
| Kelly Criterion | 27.48 | -53.12 |
| Profit Factor | 2.14 | 1.12 |
| Probabilistic Sharpe | 96.77% | 96.78% |
| Annual Volatility | 8.69% | 16.74% |
| Omega | 2.14 | - |
| Information ratio | 0 | - |
| Avg Drawdown | -0.32% | -1.27% |
| Avg Drawdown Days | 5 | 13 |
| Avg Up Month | 1.83 | 3.75 |
| Avg Down Month | -2.16% | -5.6% |
| R^2 | 0 | 0 |
| Calmar | 1.17 | 0.56 |
| Treynor | 12151.58 | - |