| Strategy | [ThetaEngine-VolatilityHedged] / ThetaEngine-VolatilityHedged | Symbol | SPX | Max positions | 4 |
|---|---|---|---|---|---|
| Period | 2016-03-02 to 2023-06-14 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.9.1-0-gb1769be | Structure | ThetaEngine | Legs | 1 |
| Strategy | [ThetaEngine-VolatilityHedged] / ThetaEngine-VolatilityHedged |
|---|---|
| Symbol | SPX |
| Max positions | 4 |
| Period | 2016-03-02 to 2023-06-14 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.9.1-0-gb1769be |
| Structure | ThetaEngine |
| 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 from Peak |
-29.7% | -34.83% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| 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% |
| 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 | 3.58 | 3.46 |
| Avg Down Month | -3.72% | -4.6% |
| R^2 | 0.29 | 0.29 |
| Calmar | 1.06 | 0.33 |
| Treynor | 1108.45 | - |