| Strategy | [WeekendEffect] / VolZilla | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2024-01-02 to 2024-09-05 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.11.55-0-gb04f4285 | Structure | Short Strangle | Legs | 2 |
| Strategy | [WeekendEffect] / VolZilla |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2024-01-02 to 2024-09-05 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.11.55-0-gb04f4285 |
| Structure | Short Strangle |
| Legs | 2 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 34 | 1 |
| Win/Loss rate | 27 / 7 = 3.86 | - |
| Adjustments | 0 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 34 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 3.12 | 247 |
| Cumulative Return | -49.89% | 16.67% |
| CAGR | -63.97% | 25.59% |
| Max Drawdown from Peak |
-64.23% | -8.78% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | -0.59 | 1.71 |
| Alpha | -1.07 | - |
| Beta | 2.51 | - |
| Kelly Criterion | -90.54 | -50.09 |
| Profit Factor | 0.61 | 1.33 |
| Probabilistic Sharpe | 26.69% | 90.03% |
| Annual Volatility | 79.13% | 13.91% |
| Omega | 0.61 | - |
| Information ratio | -0.05 | - |
| Avg Drawdown | -4.43% | -1.3% |
| Avg Drawdown Days | 9 | 9 |
| Avg Up Month | 4.01 | 3.12 |
| Avg Down Month | N/A | N/A |
| R^2 | 0.19 | 0.19 |
| Calmar | -1 | 2.91 |
| Treynor | -19.87 | - |