| Name | Portfolio-Opt / ThetaEngine-VolatilityHedged |
| Period | 2020-07-01 - 2024-06-28 |
| Version | MesoSim-2.11.39-0-g895393d |
| Symbol | SPX |
| Cash | $50000 |
| Structure | ThetaEngine |
| Max number of positions in flight | 4 |
| Expirations | 1 |
| Legs | 1 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 110 | 1 |
| Win/Loss rate | 103 / 7 = 14.71 | |
| Adjustments | 30 | |
| PT Hits | 80 | |
| SL Hits | 2 | |
| Max DIT Reaches | 14 | |
| Settlements | 28 | |
| Avg Days in Trade | 37.59 | 1458 |
| Cumulative Return | 386.35% | 75.9% |
| CAGR | 48.58% | 15.19% |
| Max Drawdown | -27.13% | -27.16% |
| Sharpe | 1.44 | 0.93 |
| Alpha | 0.25 | - |
| Beta | 1.28 | - |
| Kelly Criterion | 14.32 | 0.52 |
| Profit Factor | 1.28 | 1.12 |
| Probabilistic Sharpe | 99.72% | 96.77% |
| Smart Sharpe | 1.43 | 0.92 |
| Annual Volatility | 30.91% | 16.73% |
| Omega | 1.28 | - |
| Information ratio | 0.06 | - |
| Avg Drawdown | -2.1% | -1.35% |
| Avg Drawdown Days | 8 | 13 |
| Avg Up Month | 7.0600 | 4.4100 |
| Avg Down Month | -4.1% | -4.15% |
| R^2 | 0.48 | 0.48 |
| Calmar | 1.79 | 0.56 |
| Treynor | 302.34 | - |