Name | [SPX-AddPDSAdjustment] / SPX-AddPDSAdjustment |
Period | 2021-01-04 - 2021-12-30 |
Version | MesoSim-2.7.0-0-ge13f90a |
Symbol | SPX |
Cash | $10000 |
Structure | Long Call at initiation, then Put Debit Spread added |
Max number of positions in flight | 1 |
Expirations | 1 |
Legs | 1 |
Metric | Strategy | SPX |
---|---|---|
Trade Count | 11 | 1 |
Win/Loss rate | 4 / 7 = 0.57 | |
Adjustments | 11 | |
PT Hits | 0 | |
SL Hits | 0 | |
Max DIT Reaches | 11 | |
Settlements | 0 | |
Avg Days in Trade | 30.55 | 360 |
Cumulative Return | 27.81% | 29.93% |
CAGR | 28.24% | 30.41% |
Max Drawdown | -65.21% | -5.43% |
Sharpe | 0.77 | 2.07 |
Alpha | -0.45 | - |
Beta | 5 | - |
Kelly Criterion | -1.53 | 21.87 |
Profit Factor | 1.16 | 1.43 |
Probabilistic Sharpe | 78.51% | 97.69% |
Smart Sharpe | 0.77 | 2.07 |
Annual Volatility | 118.53% | 13.14% |
Omega | 1.16 | - |
Information ratio | 0.04 | - |
Avg Drawdown | -41.14% | -1.25% |
Avg Drawdown Days | 117 | 8 |
Avg Up Month | 40.8000 | 4.3700 |
Avg Down Month | -38.73% | -3.62% |
R^2 | 0.31 | 0.31 |
Calmar | 0.43 | 5.6 |
Treynor | 5.57 | - |