Exit-ThetaDecay-2022
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Strategy:
[Exit-ThetaDecay]
SPXdate_range
Period:
2022-01-03 → 2022-12-30· 1.0 ystacked_line_chart
Structure:
ShortStrangleformat_list_bulleted2 legsevent1 expirationlayersMax positions 1
Finished
23-02-19 12:45Version
MesoSim-2.4.0-0-g6ed4d42
Cumulative Return help
-312.3%
SPX -20.33%
CAGR help
114.08%
SPX -20.53%
Win/Loss rate
0.213 wins / 14 losses
Trade Count
17Avg Days in Trade 15.59
info
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. A series that closes at zero or below is shifted up by its lowest value first. 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.
area_chartRisk Graph at first entry
table_chartStatistics
| Metric | Strategy | SPX |
|---|---|---|
| Trades | ||
| Trade Count | 17 | 1 |
| Win/Loss rate | 3 / 14 = 0.21 | - |
| Adjustments | 32 | - |
| PT Hits | 0 | - |
| SL Hits | 1 | - |
| Max DIT Reaches | 1 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 15.59 | 361 |
| Performance | ||
| Cumulative Return | -312.3% | -20.33% |
| CAGR | 114.08% | -20.53% |
| Max Drawdown from Peak |
-341.88% | -25.39% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | -0.84 | -0.85 |
| Alpha | -1.98 | - |
| Beta | 1.14 | - |
| Kelly Criterion | -161.02 | 8.21 |
| Profit Factor | 0.47 | 0.87 |
| Probabilistic Sharpe | 8.59% | 19.98% |
| Annual Volatility | 264.13% | 23.78% |
| Omega | 0.47 | - |
| Information ratio | -0.05 | - |
| Avg Drawdown | -75.52% | -25.39% |
| Avg Drawdown Days | 70 | 360 |
| Avg Up Month | N/A | N/A |
| Avg Down Month | -7.03% | -5.26% |
| R^2 | 0.01 | 0.01 |
| Calmar | 0.33 | -0.81 |
| Treynor | -275.02 | - |