Name | [Strangle-ThetaFilter] / Strangle-ThetaFilter |
Period | 2021-01-04 - 2021-12-30 |
Version | MesoSim-2.1.0-0-gf076bfa |
Symbol | SPX |
Cash | $10000 |
Structure | ShortStrangle |
Max number of positions in flight | 1 |
Expirations | 1 |
Legs | 2 |
Metric | Strategy | SPX |
---|---|---|
Trade Count | 3 | 1 |
Win/Loss rate | 3 / 0 = ∞ | |
Adjustments | 4 | |
PT Hits | 0 | |
SL Hits | 0 | |
Max DIT Reaches | 3 | |
Settlements | 0 | |
Avg Days in Trade | 90.67 | 360 |
Cumulative Return | 64.15% | 29.93% |
CAGR | 65.29% | 30.41% |
Max Drawdown | -13.35% | -5.43% |
Sharpe | 1.88 | 2.07 |
Alpha | 0.1 | - |
Beta | 1.6 | - |
Kelly Criterion | 15.01 | 6.63 |
Profit Factor | 1.49 | 1.42 |
Probabilistic Sharpe | 95.92% | 97.69% |
Smart Sharpe | 1.52 | 1.68 |
Annual Volatility | 28.76% | 13.12% |
Omega | 1.49 | - |
Information ratio | 0.08 | - |
Avg Drawdown | -2.6% | -1.25% |
Avg Drawdown Days | 7 | 8 |
Avg Up Month | 7.2000 | 3.2800 |
Avg Down Month | -7.07% | -1.34% |
R^2 | 0.53 | 0.53 |
Calmar | 4.89 | 5.6 |
Treynor | 40.02 | - |