WeekendEffect-2022

Finished
[WeekendEffect]
SPX 2022-01-03 → 2022-12-30· 1.0 y Naked Put1 leg1 expirationMax positions 1
Finished 23-02-19 12:46Version MesoSim-2.4.0-0-g6ed4d42
Cumulative Return help 12.08% SPX -20.12%
CAGR help 12.22% SPX -20.32%
Win/Loss rate 3.232 wins / 10 losses
Trade Count 42Avg Days in Trade 3
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. Drawdown is the strategy's, from its peak on every NAV row; click SPX drawdown to compare. Click a legend entry to hide its series.

Risk Graph at first entry

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Statistics

Metric StrategySPX
Trades
Trade Count 421
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 3361
Performance
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/AN/A
Sharpe 0.84-1.54
Alpha 0.72-
Beta 0.4-
Kelly Criterion 0.21-136.13
Profit Factor 1.260.76
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 68357
Avg Up Month 10.365.66
Avg Down Month -10.27%-6.51%
R^2 0.050.05
Calmar 0.4-0.87
Treynor 30.32-

Next steps

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