BTCUSD-Straddle-2022

Finished
[BTCUSD-Straddle]
BTCUSD 2021-12-31 → 2022-12-29· 1.0 y Short Straddle2 legs1 expirationMax positions 1
Finished 23-03-02 12:44Version MesoSim-2.5.0-0-gaa0ecb4
info

BTCUSD, ETHUSD, and SOLUSD crypto options are decommissioned. Historical data and legacy workflows remain available as-is, but receive no new data, fixes, or support.

Cumulative Return help 30.73% BTCUSD -64.14%
CAGR help 30.92% BTCUSD -64.35%
Win/Loss rate 0 / 00 wins / 0 losses
Trade Count 0Avg Days in Trade 0
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. Drawdown is measured on every NAV row. Click a legend entry to hide its series.

Risk Graph at first entry

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Statistics

Metric StrategyBTCUSD
Trades
Trade Count 01
Win/Loss rate 0 / 0-
Adjustments 0-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 0-
Settlements 0-
Avg Days in Trade 0363
Performance
Cumulative Return 30.73%-64.14%
CAGR 30.92%-64.35%
Max Drawdown
from Peak		 -16.66%-66.96%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 0.94-1.06
Alpha 0.22-
Beta 0.01-
Kelly Criterion 13.79-61.56
Profit Factor 1.340.82
Probabilistic Sharpe 83.57%9.86%
Annual Volatility 22.8%53.43%
Omega 1.34-
Information ratio 0.09-
Avg Drawdown -3.8%-66.96%
Avg Drawdown Days 17362
Avg Up Month 5.236.71
Avg Down Month -5.03%-19.28%
R^2 00
Calmar 1.86-0.96
Treynor 3117.38-

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