Name | [WeekendEffect] / WeekendEffect-2022 |
Period | 2022-01-03 - 2022-12-30 |
Version | MesoSim-2.5.0-0-gaa0ecb4 |
Symbol | SPX |
Cash | $10000 |
Structure | Short Put |
Max number of positions in flight | 1 |
Expirations | 1 |
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 | -30.47% | -23.24% |
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% |
Smart Sharpe | 0.83 | -1.54 |
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 | 10.3600 | 5.6600 |
Avg Down Month | -10.27% | -6.51% |
R^2 | 0.05 | 0.05 |
Calmar | 0.4 | -0.87 |
Treynor | 30.32 | - |