| Strategy | [SPX-Short-Put] / IrateCricket | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2022-01-03 to 2022-12-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.10.8-0-gc6f240d | Structure | Short Put | Legs | 1 |
| Strategy | [SPX-Short-Put] / IrateCricket |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2022-01-03 to 2022-12-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.10.8-0-gc6f240d |
| Structure | Short Put |
| Legs | 1 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 11 | 1 |
| Win/Loss rate | 9 / 2 = 4.5 | - |
| Adjustments | 0 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 11 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 30.55 | 361 |
| Cumulative Return | 79.47% | -20.33% |
| CAGR | 80.64% | -20.53% |
| Max Drawdown from Peak |
-100.32% | -25.39% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | -0.75 | -0.85 |
| Alpha | -28.7 | - |
| Beta | 3.84 | - |
| Kelly Criterion | 36.22 | -17.51 |
| Profit Factor | 0.36 | 0.87 |
| Probabilistic Sharpe | 12.82% | 19.9% |
| Annual Volatility | 3910.52% | 23.62% |
| Omega | 0.36 | - |
| Information ratio | -0.05 | - |
| Avg Drawdown | -13.27% | -25.39% |
| Avg Drawdown Days | 18 | 360 |
| Avg Up Month | 25.32 | 5.83 |
| Avg Down Month | -19.04% | -4.64% |
| R^2 | 0 | 0 |
| Calmar | 0.8 | -0.81 |
| Treynor | 20.68 | - |