Name | [Enter-RootSelector] / Enter-RootSelector-2022 |
Period | 2022-01-03 - 2022-12-30 |
Version | MesoSim-2.4.0-0-g6ed4d42 |
Symbol | SPX |
Cash | $10000 |
Structure | ShortPut |
Max number of positions in flight | 1 |
Expirations | 1 |
Legs | 1 |
Metric | Strategy | SPX |
---|---|---|
Trade Count | 11 | 1 |
Win/Loss rate | 10 / 1 = 10 | |
Adjustments | 0 | |
PT Hits | 0 | |
SL Hits | 0 | |
Max DIT Reaches | 11 | |
Settlements | 0 | |
Avg Days in Trade | 30.55 | 361 |
Cumulative Return | 73.94% | -20.33% |
CAGR | 75.01% | -20.53% |
Max Drawdown | -46.98% | -25.39% |
Sharpe | 1.11 | -0.85 |
Alpha | 1.25 | - |
Beta | 1.97 | - |
Kelly Criterion | 24.86 | -21.3 |
Profit Factor | 1.34 | 0.87 |
Probabilistic Sharpe | 86.68% | 19.88% |
Smart Sharpe | 1.03 | -0.78 |
Annual Volatility | 76.42% | 23.66% |
Omega | 1.34 | - |
Information ratio | 0.1 | - |
Avg Drawdown | -3.98% | -25.39% |
Avg Drawdown Days | 7 | 360 |
Avg Up Month | 11.3900 | 5.8300 |
Avg Down Month | -12.17% | -6.5% |
R^2 | 0.37 | 0.37 |
Calmar | 1.6 | -0.81 |
Treynor | 37.45 | - |