Name[Strangle] / Strangle
Period2021-01-04 - 2021-12-30
Version MesoSim-2.1.0-0-gf076bfa
Symbol SPX
Cash $10000
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 90.67360
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 -
Need help? or reach out to [email protected] for assistance. 🗙