Name[SPX-Calendar] / SPX-Calendar-2021
Period2021-01-04 - 2021-12-30
Version MesoSim-2.5.0-0-gaa0ecb4
Symbol SPX
Cash $10000
Structure Calendar
Max number of positions in flight 1
Expirations 2
Legs 2
Metric Strategy SPX
Trade Count 7 1
Win/Loss rate 6 / 1 = 6
Adjustments 0
PT Hits 6
SL Hits 0
Max DIT Reaches 0
Settlements 0
Avg Days in Trade 46360
Cumulative Return 31.15% 29.93%
CAGR 31.64% 30.41%
Max Drawdown -6.83% -5.43%
Sharpe 2.2 2.08
Alpha 0.38 -
Beta -0.35 -
Kelly Criterion 10.84 5.85
Profit Factor 1.55 1.43
Probabilistic Sharpe 99.21% 97.69%
Smart Sharpe 1.85 1.75
Annual Volatility 12.85% 13.16%
Omega 1.55 -
Information ratio 0 -
Avg Drawdown -0.91% -1.24%
Avg Drawdown Days 8 8
Avg Up Month 3.7700 2.7200
Avg Down Month
R^2 0.13 0.13
Calmar 4.63 5.6
Treynor -90.03 -
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