| Name | 1-1-1 / 1-1-1 |
| Period | 2024-01-02 - 2025-06-30 |
| Version | MesoSim-2.13.4-0-g4ac54f3d |
| Symbol | RUT |
| Cash | $50000 |
| Structure | 1-1-1 |
| Max number of positions in flight | 10 |
| Expirations | 1 |
| Legs | 3 |
| Metric | Strategy | RUT |
|---|---|---|
| Trade Count | 77 | 1 |
| Win/Loss rate | 38 / 39 = 0.97 | |
| Adjustments | 0 | |
| PT Hits | 38 | |
| SL Hits | 39 | |
| Max DIT Reaches | 0 | |
| Settlements | 0 | |
| Avg Days in Trade | 1.52 | 545 |
| Cumulative Return | -7.22% | 8.67% |
| CAGR | -4.89% | 5.73% |
| Max Drawdown | -6.76% | -28.11% |
| Sharpe | -0.97 | 0.36 |
| Alpha | -0.06 | - |
| Beta | 0.09 | - |
| Kelly Criterion | -20.35 | 1.91 |
| Profit Factor | 0.7 | 1.06 |
| Probabilistic Sharpe | 10.36% | 66.93% |
| Smart Sharpe | -0.97 | 0.36 |
| Annual Volatility | 5.05% | 22.85% |
| Omega | 0.7 | - |
| Information ratio | -0.04 | - |
| Avg Drawdown | -2.47% | -5.4% |
| Avg Drawdown Days | 131 | 34 |
| Avg Up Month | 0.6500 | 3.9400 |
| Avg Down Month | -1.32% | -4.67% |
| R^2 | 0.18 | 0.18 |
| Calmar | -0.72 | 0.2 |
| Treynor | -77.38 | - |