Name | [ThetaEngine-VolatilityHedged] / ThetaEngine-VolatilityHedged |
Period | 2016-03-02 - 2023-06-14 |
Version | MesoSim-2.9.1-0-gb1769be |
Symbol | SPX |
Cash | $50000 |
Structure | ThetaEngine |
Max number of positions in flight | 4 |
Expirations | 1 |
Legs | 1 |
Metric | Strategy | SPX |
---|---|---|
Trade Count | 231 | 1 |
Win/Loss rate | 219 / 12 = 18.25 | |
Adjustments | 56 | |
PT Hits | 184 | |
SL Hits | 6 | |
Max DIT Reaches | 18 | |
Settlements | 46 | |
Avg Days in Trade | 34.76 | 2660 |
Cumulative Return | 636.92% | 121.36% |
CAGR | 31.53% | 11.52% |
Max Drawdown | -29.7% | -34.83% |
Sharpe | 1.14 | 0.52 |
Alpha | 0.11 | - |
Beta | 0.57 | - |
Kelly Criterion | 14.5 | 0.19 |
Profit Factor | 1.3 | 1.1 |
Probabilistic Sharpe | 100% | 97.48% |
Smart Sharpe | 1.14 | 0.52 |
Annual Volatility | 12.72% | 11.97% |
Omega | 1.3 | - |
Information ratio | 0.04 | - |
Avg Drawdown | -1.05% | -1.4% |
Avg Drawdown Days | 6 | 13 |
Avg Up Month | 3.5800 | 3.4600 |
Avg Down Month | -3.72% | -4.6% |
R^2 | 0.29 | 0.29 |
Calmar | 1.06 | 0.33 |
Treynor | 1108.45 | - |