| Strategy | [ThetaEngine] / ThetaEngine-2022 | Symbol | SPX | Max positions | 4 |
|---|---|---|---|---|---|
| Period | 2022-01-03 to 2022-12-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.5.0-0-gaa0ecb4 | Structure | ThetaEngine | Legs | 1 |
| Strategy | [ThetaEngine] / ThetaEngine-2022 |
|---|---|
| Symbol | SPX |
| Max positions | 4 |
| Period | 2022-01-03 to 2022-12-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.5.0-0-gaa0ecb4 |
| Structure | ThetaEngine |
| 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 from Peak |
-637.83% | -27.16% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| 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% |
| 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 | N/A | N/A |
| Avg Down Month | -91.69% | -6% |
| R^2 | 0 | 0 |
| Calmar | -0.13 | -0.75 |
| Treynor | -1.66 | - |