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| Name | [SPX-Straddle] / SPX-Straddle-2022 |
| Period | 2022-01-03 - 2022-12-30 |
| Version | MesoSim-2.5.0-0-gaa0ecb4 |
| Symbol | SPX |
| Cash | |
| 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 | - |