Name | [ThetaEngine] / ThetaEngine-2021 |
Period | 2021-01-04 - 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 | 34.74 | 360 |
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 | - |