Name[SPX-Straddle] / SPX-Straddle-2022
Period2022-01-03 - 2022-12-30
Version MesoSim-2.5.0-0-gaa0ecb4
Symbol SPX
Cash $10000
Structure Short Straddle
Max number of positions in flight 1
Expirations 1
Legs 2
Metric Strategy SPX
Trade Count 56 1
Win/Loss rate 31 / 25 = 1.24
Adjustments 0
PT Hits 0
SL Hits 0
Max DIT Reaches 0
Settlements 0
Avg Days in Trade 5.05361
Cumulative Return 98.2% -20.33%
CAGR 99.71% -20.53%
Max Drawdown -40.23% -25.39%
Sharpe 1.21 -0.85
Alpha 1.3 -
Beta 0.82 -
Kelly Criterion 3.81 -30.7
Profit Factor 1.26 0.87
Probabilistic Sharpe 88.11% 19.89%
Smart Sharpe 1.13 -0.79
Annual Volatility 93.71% 23.62%
Omega 1.26 -
Information ratio 0.09 -
Avg Drawdown -14.37% -25.39%
Avg Drawdown Days 23 360
Avg Up Month 27.6800 5.4600
Avg Down Month -15.94% -7.13%
R^2 0.04 0.04
Calmar 2.48 -0.81
Treynor 119.06 -
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