ThetaEngine-2021

Finished
[ThetaEngine]
SPX 2021-01-04 → 2021-12-30· 1.0 y ShortPut1 leg1 expirationMax positions 10
Finished 22-10-04 12:49Version MesoSim-2.1.0-0-gf076bfa
Cumulative Return help 21.93% SPX 27.76%
CAGR help 22.26% SPX 28.2%
Win/Loss rate 94 / 094 wins / 0 losses
Trade Count 94Avg Days in Trade 34.67
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. Drawdown is the strategy's, from its peak on every NAV row; click SPX drawdown to compare. Click a legend entry to hide its series.

Risk Graph at first entry

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Statistics

Metric StrategySPX
Trades
Trade Count 941
Win/Loss rate 94 / 0-
Adjustments 0-
PT Hits 94-
SL Hits 0-
Max DIT Reaches 0-
Settlements 0-
Avg Days in Trade 34.67360
Performance
Cumulative Return 21.93%27.76%
CAGR 22.26%28.2%
Max Drawdown
from Peak		 -2.85%-4.88%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 2.892.05
Alpha 0.07-
Beta 0.51-
Kelly Criterion 26.511.26
Profit Factor 1.691.41
Probabilistic Sharpe 99.69%97.64%
Annual Volatility 6.97%12.39%
Omega 1.69-
Information ratio -0.05-
Avg Drawdown -0.6%-1.37%
Avg Drawdown Days 48
Avg Up Month 2.393.36
Avg Down Month -0.46%-1.67%
R^2 0.820.82
Calmar 7.825.77
Treynor 43.03-

Next steps

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