Name | [Straddle] / Straddle-2022 |
Period | 2022-01-03 - 2022-12-30 |
Version | MesoSim-2.4.0-0-g6ed4d42 |
Symbol | SPX |
Cash | $10000 |
Structure | Straddle |
Max number of positions in flight | 1 |
Expirations | 1 |
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 | -101.02% | -25.39% |
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% |
Smart Sharpe | 0.86 | -0.81 |
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 | 12.2000 | 4.4400 |
Avg Down Month | -46.1% | -4.72% |
R^2 | 0.05 | 0.05 |
Calmar | -0.22 | -0.81 |
Treynor | 3.02 | - |