| Strategy | [Strangle] / PanickyGecko | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2021-01-04 to 2021-12-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.0.0 | Structure | ShortStrangle | Legs | 2 |
| Strategy | [Strangle] / PanickyGecko |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2021-01-04 to 2021-12-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.0.0 |
| Structure | ShortStrangle |
| Legs | 2 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 6 | 1 |
| Win/Loss rate | 5 / 0 | - |
| Adjustments | 8 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 5 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 70.6 | 360 |
| Cumulative Return | 81.53% | 29.93% |
| CAGR | 83.04% | 30.41% |
| Max Drawdown from Peak |
-13.22% | -5.43% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 2.4 | 2.07 |
| Alpha | 0.25 | - |
| Beta | 1.4 | - |
| Kelly Criterion | 12.8 | 7.82 |
| Profit Factor | 1.62 | 1.42 |
| Probabilistic Sharpe | 99.46% | 98.3% |
| Annual Volatility | 26.41% | 13.12% |
| Omega | 1.62 | - |
| Information ratio | 0.12 | - |
| Avg Drawdown | -1.96% | -1.25% |
| Avg Drawdown Days | 6 | 8 |
| Avg Up Month | 9.58 | 3.47 |
| Avg Down Month | -7.46% | -1.34% |
| R^2 | 0.49 | 0.49 |
| Calmar | 6.28 | 5.6 |
| Treynor | 58.15 | - |