Name | [Strangle] / Strangle |
Period | 2021-01-04 - 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 | 90.67 | 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 | - |