| Strategy | [ThetaEngine] / ThetaEngine-2021 | Symbol | SPX | Max positions | 10 |
|---|---|---|---|---|---|
| Period | 2021-01-04 to 2021-12-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.1.0-0-gf076bfa | Structure | ShortPut | Legs | 1 |
| Strategy | [ThetaEngine] / ThetaEngine-2021 |
|---|---|
| Symbol | SPX |
| Max positions | 10 |
| Period | 2021-01-04 to 2021-12-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.1.0-0-gf076bfa |
| Structure | ShortPut |
| Legs | 1 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 94 | 1 |
| Win/Loss rate | 94 / 0 | - |
| Adjustments | 0 | - |
| PT Hits | 94 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 0 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 34.67 | 360 |
| 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/A | N/A |
| Sharpe | 2.89 | 2.05 |
| Alpha | 0.07 | - |
| Beta | 0.51 | - |
| Kelly Criterion | 26.5 | 11.26 |
| Profit Factor | 1.69 | 1.41 |
| 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 | 4 | 8 |
| Avg Up Month | 2.39 | 3.36 |
| Avg Down Month | -0.46% | -1.67% |
| R^2 | 0.82 | 0.82 |
| Calmar | 7.82 | 5.77 |
| Treynor | 43.03 | - |