| Strategy | [SPX-TrailingStop] / VolZilla | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2024-01-02 to 2024-09-05 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.11.55-0-gb04f4285 | Structure | Short Put | Legs | 1 |
| Strategy | [SPX-TrailingStop] / VolZilla |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2024-01-02 to 2024-09-05 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.11.55-0-gb04f4285 |
| Structure | Short Put |
| Legs | 1 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 22 | 1 |
| Win/Loss rate | 12 / 10 = 1.2 | - |
| Adjustments | 88 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 3 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 8.59 | 247 |
| Cumulative Return | -17.16% | 16.39% |
| CAGR | -24.29% | 25.15% |
| Max Drawdown from Peak |
-58.96% | -8.54% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | -0.01 | 1.72 |
| Alpha | -0.82 | - |
| Beta | 3.51 | - |
| Kelly Criterion | -4.98 | -7.7 |
| Profit Factor | 1 | 1.37 |
| Probabilistic Sharpe | 49.72% | 90.67% |
| Annual Volatility | 66.44% | 13.53% |
| Omega | 1 | - |
| Information ratio | -0.03 | - |
| Avg Drawdown | -5.7% | -1.5% |
| Avg Drawdown Days | 10 | 10 |
| Avg Up Month | 9.05 | 3.58 |
| Avg Down Month | -13.71% | -1.82% |
| R^2 | 0.51 | 0.51 |
| Calmar | -0.41 | 2.95 |
| Treynor | -4.89 | - |