| Name | [SPX-Straddle] / SPX-Straddle-2021 |
| Period | 2021-01-04 - 2021-12-30 |
| Version | MesoSim-2.5.0-0-gaa0ecb4 |
| Symbol | SPX |
| Cash | $10000 |
| Structure | Short Straddle |
| Max number of positions in flight | 1 |
| Expirations | 1 |
| Legs | 2 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 30 | 1 |
| Win/Loss rate | 12 / 18 = 0.67 | |
| Adjustments | 0 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 0 | |
| Settlements | 0 | |
| Avg Days in Trade | 10.2 | 360 |
| Cumulative Return | -10.91% | 29.93% |
| CAGR | -11.05% | 30.41% |
| Max Drawdown | -84.09% | -5.43% |
| Sharpe | 0.73 | 2.07 |
| Alpha | -0.52 | - |
| Beta | 6.29 | - |
| Kelly Criterion | -8.49 | 3.09 |
| Profit Factor | 1.2 | 1.42 |
| Probabilistic Sharpe | 77.46% | 97.69% |
| Smart Sharpe | 0.62 | 1.76 |
| Annual Volatility | 163.39% | 13.12% |
| Omega | 1.2 | - |
| Information ratio | 0.04 | - |
| Avg Drawdown | -30.22% | -1.25% |
| Avg Drawdown Days | 42 | 8 |
| Avg Up Month | 43.6300 | 2.9200 |
| Avg Down Month | -34.93% | -2.48% |
| R^2 | 0.26 | 0.26 |
| Calmar | -0.13 | 5.6 |
| Treynor | -1.73 | - |