| Strategy | [Strangle-ThetaFilter] / Strangle-ThetaFilter | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2021-01-04 to 2021-12-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.1.0-0-gf076bfa | Structure | ShortStrangle | Legs | 2 |
| Strategy | [Strangle-ThetaFilter] / Strangle-ThetaFilter |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2021-01-04 to 2021-12-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.1.0-0-gf076bfa |
| Structure | ShortStrangle |
| 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 from Peak |
-13.35% | -5.43% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| 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% |
| 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 | 7.2 | 3.28 |
| Avg Down Month | -7.07% | -1.34% |
| R^2 | 0.53 | 0.53 |
| Calmar | 4.89 | 5.6 |
| Treynor | 40.02 | - |