| Name | [SPX-Strangle-Adjusting] / EvocativeOwl |
| Period | 2021-01-04 - 2021-12-30 |
| Version | MesoSim-2.10.22-0-g58f48da |
| Symbol | SPX |
| Cash | $10000 |
| Structure | Short Strangle |
| Max number of positions in flight | 1 |
| Expirations | 1 |
| Legs | 2 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 66 | 1 |
| Win/Loss rate | 64 / 2 = 32 | |
| Adjustments | 30 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 0 | |
| Settlements | 0 | |
| Avg Days in Trade | 3.88 | 360 |
| Cumulative Return | 153.81% | 29.93% |
| CAGR | 157.12% | 30.41% |
| Max Drawdown | -25.25% | -5.43% |
| Sharpe | 1.89 | 2.07 |
| Alpha | 0.22 | - |
| Beta | 3.27 | - |
| Kelly Criterion | 6.04 | 17.76 |
| Profit Factor | 1.59 | 1.42 |
| Probabilistic Sharpe | 96.52% | 97.69% |
| Smart Sharpe | 1.46 | 1.61 |
| Annual Volatility | 58.94% | 13.12% |
| Omega | 1.59 | - |
| Information ratio | 0.11 | - |
| Avg Drawdown | -2.23% | -1.25% |
| Avg Drawdown Days | 4 | 8 |
| Avg Up Month | 14.3100 | 3.2800 |
| Avg Down Month | -11.35% | -1.34% |
| R^2 | 0.53 | 0.53 |
| Calmar | 6.22 | 5.6 |
| Treynor | 47.01 | - |