Backtests

VolZilla

Finished
[WeekendEffect]
SPX 2024-01-02 → 2024-09-05· 0.7 y Short Strangle2 legs1 expirationMax positions 1
Finished 24-09-08 13:41Version MesoSim-2.11.55-0-gb04f4285
Cumulative Return help -49.89% SPX 16.67%
CAGR help -63.97% SPX 25.59%
Win/Loss rate 3.8627 wins / 7 losses
Trade Count 34Avg Days in Trade 3.12
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. Drawdown is the strategy's, from its peak on every NAV row; click SPX drawdown to compare. Click a legend entry to hide its series.

Risk Graph at first entry

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Statistics

Metric StrategySPX
Trades
Trade Count 341
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 3.12247
Performance
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/AN/A
Sharpe -0.591.71
Alpha -1.07-
Beta 2.51-
Kelly Criterion -90.54-50.09
Profit Factor 0.611.33
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 99
Avg Up Month 4.013.12
Avg Down Month N/AN/A
R^2 0.190.19
Calmar -12.91
Treynor -19.87-

Next steps

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