Name[ThetaEngine] / ThetaEngine-2021
Period2021-01-04 - 2021-12-30
Version MesoSim-2.5.0-0-gaa0ecb4
Symbol SPX
Cash $10000
Structure ThetaEngine
Max number of positions in flight 4
Expirations 1
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 34.74360
Cumulative Return 1157.59% 27.76%
CAGR 1202.6% 28.2%
Max Drawdown -53.54% -4.88%
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%
Smart Sharpe 2.48 1.75
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 37.3800 3.3600
Avg Down Month -6.76% -4.64%
R^2 0.5 0.5
Calmar 22.46 5.77
Treynor 190.47 -
Need help? or reach out to [email protected] for assistance. 🗙