| Strategy | [GLD-Wheel] / TrustyHorse | Symbol | GLD | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2021-01-04 to 2024-12-31 | Cash | $100000 | Expirations | 1 |
| Version | MesoSim-3.0.9-0-g4a2d309d | Structure | GLD Wheel (Options-Only) | Legs | 1 |
| Strategy | [GLD-Wheel] / TrustyHorse |
|---|---|
| Symbol | GLD |
| Max positions | 1 |
| Period | 2021-01-04 to 2024-12-31 |
| Cash | $100000 |
| Expirations | 1 |
| Version | MesoSim-3.0.9-0-g4a2d309d |
| Structure | GLD Wheel (Options-Only) |
| Legs | 1 |
| Metric | Strategy | GLD |
|---|---|---|
| Trade Count | 44 | 1 |
| Win/Loss rate | 34 / 10 = 3.4 | - |
| Adjustments | 12 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 0 | - |
| Settlements | 32 | - |
| Avg Days in Trade | 0 | 1457 |
| Cumulative Return | 1.04% | 32.96% |
| CAGR | 0.26% | 7.4% |
| Max Drawdown from Peak |
-1.34% | -20.84% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 0.32 | 0.58 |
| Alpha | 0 | - |
| Beta | 0.04 | - |
| Kelly Criterion | 12.15 | -7.35 |
| Profit Factor | 1.08 | 1.1 |
| Probabilistic Sharpe | 73.6% | 87.48% |
| Annual Volatility | 0.82% | 14.07% |
| Omega | 1.08 | - |
| Information ratio | -0.04 | - |
| Avg Drawdown | -0.14% | -3.88% |
| Avg Drawdown Days | 42 | 69 |
| Avg Up Month | 0.14 | 4.34 |
| Avg Down Month | -0.25% | -4% |
| R^2 | 0.4 | 0.4 |
| Calmar | 0.19 | 0.35 |
| Treynor | 28.12 | - |