| Strategy | [WeekendEffect] / WeekendEffect-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 | Naked Put | Legs | 1 |
| Strategy | [WeekendEffect] / WeekendEffect-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 | Naked Put |
| Legs | 1 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 42 | 1 |
| Win/Loss rate | 32 / 10 = 3.2 | - |
| Adjustments | 0 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 42 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 3 | 361 |
| Cumulative Return | 12.08% | -20.12% |
| CAGR | 12.22% | -20.32% |
| Max Drawdown from Peak |
-30.47% | -23.24% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 0.84 | -1.54 |
| Alpha | 0.72 | - |
| Beta | 0.4 | - |
| Kelly Criterion | 0.21 | -136.13 |
| Profit Factor | 1.26 | 0.76 |
| Probabilistic Sharpe | 67.63% | 17.84% |
| Annual Volatility | 60.71% | 34.49% |
| Omega | 1.26 | - |
| Information ratio | 0.1 | - |
| Avg Drawdown | -9.31% | -23.24% |
| Avg Drawdown Days | 68 | 357 |
| Avg Up Month | 10.36 | 5.66 |
| Avg Down Month | -10.27% | -6.51% |
| R^2 | 0.05 | 0.05 |
| Calmar | 0.4 | -0.87 |
| Treynor | 30.32 | - |