Name | [SPX-Straddle] / SPX-Straddle-2022 |
Period | 2022-01-03 - 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 | 5.05 | 361 |
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 | - |