| Strategy | Portfolio-Opt / Strangle-Adjusting-compounding | Symbol | SPX | Max positions | 4 |
|---|---|---|---|---|---|
| Period | 2020-07-01 to 2024-06-28 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.11.39-0-g895393d | Structure | Short Strangle | Legs | 2 |
| Strategy | Portfolio-Opt / Strangle-Adjusting-compounding |
|---|---|
| Symbol | SPX |
| Max positions | 4 |
| Period | 2020-07-01 to 2024-06-28 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.11.39-0-g895393d |
| Structure | Short Strangle |
| Legs | 2 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 61 | 1 |
| Win/Loss rate | 46 / 15 = 3.07 | - |
| Adjustments | 1206 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 61 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 90.77 | 1458 |
| Cumulative Return | 110.19% | 75.43% |
| CAGR | 20.44% | 15.11% |
| Max Drawdown from Peak |
-32.74% | -25.39% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 0.89 | 0.92 |
| Alpha | 0.15 | - |
| Beta | 0.46 | - |
| Kelly Criterion | 9.29 | -13.13 |
| Profit Factor | 1.17 | 1.14 |
| Probabilistic Sharpe | 95.78% | 96.67% |
| Annual Volatility | 24.37% | 16.77% |
| Omega | 1.17 | - |
| Information ratio | 0.01 | - |
| Avg Drawdown | -2.43% | -1.12% |
| Avg Drawdown Days | 16 | 12 |
| Avg Up Month | 5.4 | 4.23 |
| Avg Down Month | -4.8% | -4.37% |
| R^2 | 0.1 | 0.1 |
| Calmar | 0.62 | 0.6 |
| Treynor | 242 | - |