Name | [Exit-ThetaDecay] / Exit-ThetaDecay-2022 |
Period | 2022-01-03 - 2022-12-30 |
Version | MesoSim-2.4.0-0-g6ed4d42 |
Symbol | SPX |
Cash | $10000 |
Structure | ShortStrangle |
Max number of positions in flight | 1 |
Expirations | 1 |
Legs | 2 |
Metric | Strategy | SPX |
---|---|---|
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 |
Cumulative Return | -312.3% | -20.33% |
CAGR | 114.08% | -20.53% |
Max Drawdown | -341.88% | -25.39% |
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% |
Smart Sharpe | -0.82 | -0.84 |
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 | ||
Avg Down Month | -7.03% | -5.26% |
R^2 | 0.01 | 0.01 |
Calmar | 0.33 | -0.81 |
Treynor | -275.02 | - |