| Strategy | [Straddle] / Straddle-2022 | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2022-01-03 to 2022-12-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.4.0-0-g6ed4d42 | Structure | Straddle | Legs | 2 |
| Strategy | [Straddle] / Straddle-2022 |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2022-01-03 to 2022-12-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.4.0-0-g6ed4d42 |
| Structure | Straddle |
| Legs | 2 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 38 | 1 |
| Win/Loss rate | 22 / 16 = 1.38 | - |
| Adjustments | 129 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 0 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 8.11 | 361 |
| Cumulative Return | -21.89% | -20.33% |
| CAGR | -22.11% | -20.53% |
| Max Drawdown from Peak |
-101.02% | -25.39% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 0.9 | -0.85 |
| Alpha | 5.74 | - |
| Beta | -7.25 | - |
| Kelly Criterion | -20.67 | -30.8 |
| Profit Factor | 1.4 | 0.87 |
| Probabilistic Sharpe | 82.72% | 19.9% |
| Annual Volatility | 798.74% | 23.62% |
| Omega | 1.4 | - |
| Information ratio | 0.06 | - |
| Avg Drawdown | -14.68% | -25.39% |
| Avg Drawdown Days | 34 | 360 |
| Avg Up Month | 12.2 | 4.44 |
| Avg Down Month | -46.1% | -4.72% |
| R^2 | 0.05 | 0.05 |
| Calmar | -0.22 | -0.81 |
| Treynor | 3.02 | - |