| Strategy | [Enter-Campaign] / Enter-Campaign-2022 | Symbol | SPX | Max positions | 4 |
|---|---|---|---|---|---|
| Period | 2022-01-03 to 2022-12-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.4.0-0-g6ed4d42 | Structure | ShortStrangle | Legs | 2 |
| Strategy | [Enter-Campaign] / Enter-Campaign-2022 |
|---|---|
| Symbol | SPX |
| Max positions | 4 |
| Period | 2022-01-03 to 2022-12-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.4.0-0-g6ed4d42 |
| Structure | ShortStrangle |
| 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 from Peak |
-331.94% | -25.39% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| 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% |
| 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 | N/A | N/A |
| Avg Down Month | -14.17% | -4.96% |
| R^2 | 0.01 | 0.01 |
| Calmar | 0.18 | -0.81 |
| Treynor | -86.73 | - |