Name | [GLD-Short-Call] / GLD-CallWrite |
Period | 2020-01-02 - 2025-06-18 |
Version | MesoSim-2.13.4-0-g4ac54f3d |
Symbol | GLD |
Cash | $100000 |
Structure | Short Put |
Max number of positions in flight | 10 |
Expirations | 1 |
Legs | 1 |
Metric | Strategy | GLD |
---|---|---|
Trade Count | 674 | 1 |
Win/Loss rate | 502 / 172 = 2.92 | |
Adjustments | 0 | |
PT Hits | 0 | |
SL Hits | 0 | |
Max DIT Reaches | 269 | |
Settlements | 116 | |
Avg Days in Trade | 20.03 | 1994 |
Cumulative Return | -19.47% | 115.55% |
CAGR | -3.89% | 15.09% |
Max Drawdown | -35.95% | -21.83% |
Sharpe | -0.26 | 0.97 |
Alpha | 0.05 | - |
Beta | -0.55 | - |
Kelly Criterion | 44.03 | -110.92 |
Profit Factor | 0.94 | 1.18 |
Probabilistic Sharpe | 26.86% | 98.81% |
Smart Sharpe | -0.23 | 0.86 |
Annual Volatility | 12.37% | 15.78% |
Omega | 0.94 | - |
Information ratio | -0.04 | - |
Avg Drawdown | -1.9% | -2.56% |
Avg Drawdown Days | 43 | 41 |
Avg Up Month | 0.8500 | 1.8200 |
Avg Down Month | -0.73% | -0.23% |
R^2 | 0.49 | 0.49 |
Calmar | -0.11 | 0.69 |
Treynor | 35.38 | - |