Name | [SPX-TrailingStop] / SPX-TrailingStop |
Period | 2022-01-03 - 2022-12-30 |
Version | MesoSim-2.10.1-0-g458485c |
Symbol | SPX |
Cash | $10000 |
Structure | Short Put |
Max number of positions in flight | 1 |
Expirations | 1 |
Legs | 1 |
Metric | Strategy | SPX |
---|---|---|
Trade Count | 50 | 1 |
Win/Loss rate | 21 / 29 = 0.72 | |
Adjustments | 116 | |
PT Hits | 0 | |
SL Hits | 0 | |
Max DIT Reaches | 3 | |
Settlements | 0 | |
Avg Days in Trade | 5.92 | 361 |
Cumulative Return | 80.3% | -20.33% |
CAGR | 81.49% | -20.53% |
Max Drawdown | -32.06% | -25.39% |
Sharpe | 1.33 | -0.85 |
Alpha | 1.1 | - |
Beta | 1.75 | - |
Kelly Criterion | 15.87 | -16.98 |
Profit Factor | 1.34 | 0.87 |
Probabilistic Sharpe | 90.83% | 19.9% |
Smart Sharpe | 1.32 | -0.84 |
Annual Volatility | 56.65% | 23.62% |
Omega | 1.34 | - |
Information ratio | 0.14 | - |
Avg Drawdown | -5.21% | -25.39% |
Avg Drawdown Days | 13 | 360 |
Avg Up Month | 16.2600 | 5.8300 |
Avg Down Month | -4.74% | -6.2% |
R^2 | 0.53 | 0.53 |
Calmar | 2.54 | -0.81 |
Treynor | 45.98 | - |