Name[Strangle-ThetaFilter] / Strangle-ThetaFilter
Period2021-01-04 - 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 90.67360
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 -
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