Name | [ThetaEngine] / ThetaEngine-2022 |
Period | 2022-01-03 - 2022-12-30 |
Version | MesoSim-2.5.0-0-gaa0ecb4 |
Symbol | SPX |
Cash | $10000 |
Structure | ThetaEngine |
Max number of positions in flight | 4 |
Expirations | 1 |
Legs | 1 |
Metric | Strategy | SPX |
---|---|---|
Trade Count | 33 | 1 |
Win/Loss rate | 27 / 6 = 4.5 | |
Adjustments | 0 | |
PT Hits | 27 | |
SL Hits | 6 | |
Max DIT Reaches | 0 | |
Settlements | 0 | |
Avg Days in Trade | 38.88 | 361 |
Cumulative Return | -83.61% | -20.04% |
CAGR | -83.93% | -20.24% |
Max Drawdown | -637.83% | -27.16% |
Sharpe | 1.53 | -0.82 |
Alpha | 516.54 | - |
Beta | 50.41 | - |
Kelly Criterion | 38.77 | 5.84 |
Profit Factor | 6.72 | 0.88 |
Probabilistic Sharpe | 99.98% | 20.84% |
Smart Sharpe | 1.51 | -0.81 |
Annual Volatility | 33176.66% | 24.08% |
Omega | 6.72 | - |
Information ratio | 0.1 | - |
Avg Drawdown | -361.65% | -27.16% |
Avg Drawdown Days | 179 | 360 |
Avg Up Month | ||
Avg Down Month | -91.69% | -6% |
R^2 | 0 | 0 |
Calmar | -0.13 | -0.75 |
Treynor | -1.66 | - |