Name | [SPX-Calendar] / SPX-Calendar-2021 |
Period | 2021-01-04 - 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 | 46 | 360 |
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 | - |