Name | [Enter-Campaign] / Enter-Campaign-2022 |
Period | 2022-01-03 - 2022-12-30 |
Version | MesoSim-2.4.0-0-g6ed4d42 |
Symbol | SPX |
Cash | $10000 |
Structure | ShortStrangle |
Max number of positions in flight | 4 |
Expirations | 1 |
Legs | 2 |
Metric | Strategy | SPX |
---|---|---|
Trade Count | 96 | 1 |
Win/Loss rate | 61 / 35 = 1.74 | |
Adjustments | 89 | |
PT Hits | 0 | |
SL Hits | 1 | |
Max DIT Reaches | 60 | |
Settlements | 0 | |
Avg Days in Trade | 8.94 | 361 |
Cumulative Return | -260.5% | -20.33% |
CAGR | 61.34% | -20.53% |
Max Drawdown | -331.94% | -25.39% |
Sharpe | -1.13 | -0.85 |
Alpha | -6.16 | - |
Beta | 3 | - |
Kelly Criterion | -146.91 | 6.77 |
Profit Factor | 0.33 | 0.87 |
Probabilistic Sharpe | 0.7% | 19.98% |
Smart Sharpe | -1.11 | -0.83 |
Annual Volatility | 598.14% | 23.78% |
Omega | 0.33 | - |
Information ratio | -0.07 | - |
Avg Drawdown | -93.37% | -25.39% |
Avg Drawdown Days | 86 | 360 |
Avg Up Month | ||
Avg Down Month | -14.17% | -4.96% |
R^2 | 0.01 | 0.01 |
Calmar | 0.18 | -0.81 |
Treynor | -86.73 | - |