| Strategy | [ThetaEngine] / ThetaEngine-2021 | Symbol | SPX | Max positions | 4 |
|---|---|---|---|---|---|
| Period | 2021-01-04 to 2021-12-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.5.0-0-gaa0ecb4 | Structure | ThetaEngine | Legs | 1 |
| Strategy | [ThetaEngine] / ThetaEngine-2021 |
|---|---|
| Symbol | SPX |
| Max positions | 4 |
| Period | 2021-01-04 to 2021-12-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.5.0-0-gaa0ecb4 |
| Structure | ThetaEngine |
| Legs | 1 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 39 | 1 |
| Win/Loss rate | 39 / 0 | - |
| Adjustments | 0 | - |
| PT Hits | 39 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 0 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 34.74 | 360 |
| Cumulative Return | 1157.59% | 27.76% |
| CAGR | 1202.6% | 28.2% |
| Max Drawdown from Peak |
-53.54% | -4.88% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 2.9 | 2.05 |
| Alpha | 1.56 | - |
| Beta | 6.08 | - |
| Kelly Criterion | 29.93 | 11.62 |
| Profit Factor | 1.92 | 1.41 |
| Probabilistic Sharpe | 99.91% | 97.63% |
| Annual Volatility | 107.26% | 12.43% |
| Omega | 1.92 | - |
| Information ratio | 0.18 | - |
| Avg Drawdown | -6.61% | -1.37% |
| Avg Drawdown Days | 4 | 8 |
| Avg Up Month | 37.38 | 3.36 |
| Avg Down Month | -6.76% | -4.64% |
| R^2 | 0.5 | 0.5 |
| Calmar | 22.46 | 5.77 |
| Treynor | 190.47 | - |