EvocativeOwl

Results removed
[SPX-Strangle-Adjusting]
SPX 2021-01-04 → 2021-12-30· 1.0 y Short Strangle2 legs1 expirationMax positions 1
Finished 23-10-25 08:38Version MesoSim-2.10.22-0-g58f48da
Cumulative Return help 153.81% SPX 29.93%
CAGR help 157.12% SPX 30.41%
Win/Loss rate 3264 wins / 2 losses
Trade Count 66Avg Days in Trade 3.88

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Strategy

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Statistics

Metric StrategySPX
Trades
Trade Count 661
Win/Loss rate 64 / 2 = 32-
Adjustments 30-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 0-
Settlements 0-
Avg Days in Trade 3.88360
Performance
Cumulative Return 153.81%29.93%
CAGR 157.12%30.41%
Max Drawdown
from Peak		 -25.25%-5.43%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 1.892.07
Alpha 0.22-
Beta 3.27-
Kelly Criterion 6.0417.76
Profit Factor 1.591.42
Probabilistic Sharpe 96.52%97.69%
Annual Volatility 58.94%13.12%
Omega 1.59-
Information ratio 0.11-
Avg Drawdown -2.23%-1.25%
Avg Drawdown Days 48
Avg Up Month 14.313.28
Avg Down Month -11.35%-1.34%
R^2 0.530.53
Calmar 6.225.6
Treynor 47.01-

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