| Strategy | [FixedWidthSpread] / FixedWidthSpread | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2021-01-04 to 2021-12-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.9.1-0-gb1769be | Structure | Short Strangle | Legs | 2 |
| Strategy | [FixedWidthSpread] / FixedWidthSpread |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2021-01-04 to 2021-12-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.9.1-0-gb1769be |
| Structure | Short Strangle |
| Legs | 2 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 3 | 1 |
| Win/Loss rate | 3 / 0 | - |
| Adjustments | 0 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 3 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 90.67 | 360 |
| Cumulative Return | 43.6% | 29.93% |
| CAGR | 44.32% | 30.41% |
| Max Drawdown from Peak |
-9.01% | -5.43% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 2.15 | 2.07 |
| Alpha | 0.02 | - |
| Beta | 1.31 | - |
| Kelly Criterion | 18.23 | 16.88 |
| Profit Factor | 1.46 | 1.42 |
| Probabilistic Sharpe | 98.01% | 97.69% |
| Annual Volatility | 17.66% | 13.12% |
| Omega | 1.46 | - |
| Information ratio | 0.12 | - |
| Avg Drawdown | -1.67% | -1.25% |
| Avg Drawdown Days | 7 | 8 |
| Avg Up Month | 4.43 | 3.18 |
| Avg Down Month | -3.44% | -2.48% |
| R^2 | 0.94 | 0.94 |
| Calmar | 4.92 | 5.6 |
| Treynor | 33.33 | - |