| Name | [Strangle] / Strangle |
| Period | 2021-01-04 - 2021-12-30 |
| Version | MesoSim-2.1.0-0-gf076bfa |
| Symbol | SPX |
| Cash | |
| Structure | ShortStrangle |
| Max number of positions in flight | 1 |
| Expirations | 1 |
| Legs | 2 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 3 | 1 |
| Win/Loss rate | 3 / 0 = ∞ | |
| Adjustments | 4 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 3 | |
| Settlements | 0 | |
| Avg Days in Trade | 90.67 | 360 |
| Cumulative Return | 68.31% | 29.93% |
| CAGR | 69.53% | 30.41% |
| Max Drawdown | -13.22% | -5.43% |
| Sharpe | 2.06 | 2.07 |
| Alpha | 0.15 | - |
| Beta | 1.51 | - |
| Kelly Criterion | 14.12 | 6.74 |
| Profit Factor | 1.55 | 1.42 |
| Probabilistic Sharpe | 96.96% | 97.69% |
| Smart Sharpe | 1.66 | 1.68 |
| Annual Volatility | 27.28% | 13.12% |
| Omega | 1.55 | - |
| Information ratio | 0.09 | - |
| Avg Drawdown | -2.16% | -1.25% |
| Avg Drawdown Days | 6 | 8 |
| Avg Up Month | 7.3200 | 3.2800 |
| Avg Down Month | -5.85% | -1.34% |
| R^2 | 0.53 | 0.53 |
| Calmar | 5.26 | 5.6 |
| Treynor | 45.1 | - |