Name[GLD-Short-Call] / GLD-CallWrite
Period2020-01-02 - 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 20.031994
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 -
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