| Strategy | [BTCUSD-Straddle] / BTCUSD-Straddle-2022 | Symbol | BTCUSD | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2021-12-31 to 2022-12-29 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.5.0-0-gaa0ecb4 | Structure | Short Straddle | Legs | 2 |
| Strategy | [BTCUSD-Straddle] / BTCUSD-Straddle-2022 |
|---|---|
| Symbol | BTCUSD |
| Max positions | 1 |
| Period | 2021-12-31 to 2022-12-29 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.5.0-0-gaa0ecb4 |
| Structure | Short Straddle |
| Legs | 2 |
| Metric | Strategy | BTCUSD |
|---|---|---|
| Trade Count | 0 | 1 |
| Win/Loss rate | 0 / 0 | - |
| Adjustments | 0 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 0 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 0 | 363 |
| 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/A | N/A |
| Sharpe | 0.94 | -1.06 |
| Alpha | 0.22 | - |
| Beta | 0.01 | - |
| Kelly Criterion | 13.79 | -61.56 |
| Profit Factor | 1.34 | 0.82 |
| 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 | 17 | 362 |
| Avg Up Month | 5.23 | 6.71 |
| Avg Down Month | -5.03% | -19.28% |
| R^2 | 0 | 0 |
| Calmar | 1.86 | -0.96 |
| Treynor | 3117.38 | - |