SPX-Straddle-2022

Finished
[SPX-Straddle]
SPX 2022-01-03 → 2022-12-30· 1.0 y Short Straddle2 legs1 expirationMax positions 1
Finished 23-03-01 12:44Version MesoSim-2.5.0-0-gaa0ecb4
Cumulative Return help 98.2% SPX -20.33%
CAGR help 99.71% SPX -20.53%
Win/Loss rate 1.2431 wins / 25 losses
Trade Count 56Avg Days in Trade 5.05
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. Drawdown is the strategy's, from its peak on every NAV row; click SPX drawdown to compare. Click a legend entry to hide its series.

Risk Graph at first entry

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Statistics

Metric StrategySPX
Trades
Trade Count 561
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
Performance
Cumulative Return 98.2%-20.33%
CAGR 99.71%-20.53%
Max Drawdown
from Peak		 -40.23%-25.39%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 1.21-0.85
Alpha 1.3-
Beta 0.82-
Kelly Criterion 3.81-30.7
Profit Factor 1.260.87
Probabilistic Sharpe 88.11%19.89%
Annual Volatility 93.71%23.62%
Omega 1.26-
Information ratio 0.09-
Avg Drawdown -14.37%-25.39%
Avg Drawdown Days 23360
Avg Up Month 27.685.46
Avg Down Month -15.94%-7.13%
R^2 0.040.04
Calmar 2.48-0.81
Treynor 119.06-

Next steps

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