| Strategy | [SPX-TrailingStop] / Bull Market | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2021-01-04 to 2021-12-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.10.1-0-g458485c | Structure | Short Put | Legs | 1 |
| Strategy | [SPX-TrailingStop] / Bull Market |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2021-01-04 to 2021-12-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.10.1-0-g458485c |
| Structure | Short Put |
| Legs | 1 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 27 | 1 |
| Win/Loss rate | 15 / 12 = 1.25 | - |
| Adjustments | 124 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 5 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 11.07 | 360 |
| Cumulative Return | 98.82% | 29.93% |
| CAGR | 100.73% | 30.41% |
| Max Drawdown from Peak |
-16.59% | -5.43% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 2.1 | 2.07 |
| Alpha | 0.21 | - |
| Beta | 1.99 | - |
| Kelly Criterion | 16.88 | 1.95 |
| Profit Factor | 1.65 | 1.42 |
| Probabilistic Sharpe | 97.21% | 97.69% |
| Annual Volatility | 36% | 13.12% |
| Omega | 1.65 | - |
| Information ratio | 0.11 | - |
| Avg Drawdown | -3.48% | -1.25% |
| Avg Drawdown Days | 9 | 8 |
| Avg Up Month | 12.12 | 3.94 |
| Avg Down Month | -8.38% | -1.34% |
| R^2 | 0.53 | 0.53 |
| Calmar | 6.07 | 5.6 |
| Treynor | 49.54 | - |