Name | [WeekendEffect] / VolZilla |
Period | 2024-01-02 - 2024-09-05 |
Version | MesoSim-2.11.55-0-gb04f4285 |
Symbol | SPX |
Cash | $10000 |
Structure | Short Strangle |
Max number of positions in flight | 1 |
Expirations | 1 |
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 | -64.23% | -8.78% |
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% |
Smart Sharpe | -0.59 | 1.71 |
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 | 4.0100 | 3.1200 |
Avg Down Month | ||
R^2 | 0.19 | 0.19 |
Calmar | -1 | 2.91 |
Treynor | -19.87 | - |