- Strategy Overview
- Position Monitor
- Full Tearsheet
- Analytics
- Margin Report
- Events
- Strategy Definition
| Name | [SPX-ExternalData-Csv] / SPX-ExternalData-Csv |
| Period | 2022-01-03 - 2022-01-11 |
| Version | MesoSim-2.7.0-0-ge13f90a |
| Symbol | SPX |
| Cash | |
| Structure | ShortPut |
| Max number of positions in flight | 1 |
| Expirations | 1 |
| Legs | 1 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 1 | 1 |
| Win/Loss rate | 0 / 1 = 0 | |
| Adjustments | 0 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 0 | |
| Settlements | 0 | |
| Avg Days in Trade | 6 | 8 |
| Cumulative Return | -7.28% | -1.7% |
| CAGR | -96.82% | -54.34% |
| Max Drawdown | -7.25% | -3.27% |
| Sharpe | -7.22 | -3.98 |
| Alpha | -1.62 | - |
| Beta | 1.69 | - |
| Kelly Criterion | ||
| Profit Factor | 0.13 | 0.49 |
| Probabilistic Sharpe | 2.48% | 28.11% |
| Smart Sharpe | -5.44 | -3 |
| Annual Volatility | 36.66% | 15.28% |
| Omega | 0.13 | - |
| Information ratio | -0.46 | - |
| Avg Drawdown | -7.25% | -3.27% |
| Avg Drawdown Days | 7 | 7 |
| Avg Up Month | ||
| Avg Down Month | -7.28% | -1.7% |
| R^2 | 0.5 | 0.5 |
| Calmar | -13.35 | -16.63 |
| Treynor | -4.3 | - |