| Strategy | [Calendar] / Calendar-2022 | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2022-01-03 to 2022-12-30 | Cash | - | Expirations | 2 |
| Version | MesoSim-2.4.0-0-g6ed4d42 | Structure | Calendar | Legs | 2 |
| Strategy | [Calendar] / Calendar-2022 |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2022-01-03 to 2022-12-30 |
| Cash | - |
| Expirations | 2 |
| Version | MesoSim-2.4.0-0-g6ed4d42 |
| Structure | Calendar |
| Legs | 2 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 10 | 1 |
| Win/Loss rate | 4 / 6 = 0.67 | - |
| Adjustments | 0 | - |
| PT Hits | 4 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 0 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 34.8 | 361 |
| Cumulative Return | 2.8% | -20.33% |
| CAGR | 2.83% | -20.53% |
| Max Drawdown from Peak |
-12.9% | -25.39% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 0.25 | -0.85 |
| Alpha | 0.15 | - |
| Beta | 0.52 | - |
| Kelly Criterion | 1.73 | -11.65 |
| Profit Factor | 1.05 | 0.87 |
| Probabilistic Sharpe | 59.79% | 19.88% |
| Annual Volatility | 16.78% | 23.66% |
| Omega | 1.05 | - |
| Information ratio | 0.1 | - |
| Avg Drawdown | -2.24% | -25.39% |
| Avg Drawdown Days | 26 | 360 |
| Avg Up Month | 5.02 | 5.83 |
| Avg Down Month | -2.8% | -6.56% |
| R^2 | 0.54 | 0.54 |
| Calmar | 0.22 | -0.81 |
| Treynor | 5.37 | - |