| Strategy | [ThetaEngine-VolatilityHedged] / VolZilla | Symbol | SPX | Max positions | 4 |
|---|---|---|---|---|---|
| Period | 2024-01-02 to 2024-09-05 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.11.55-0-gb04f4285 | Structure | ThetaEngine | Legs | 1 |
| Strategy | [ThetaEngine-VolatilityHedged] / VolZilla |
|---|---|
| Symbol | SPX |
| Max positions | 4 |
| Period | 2024-01-02 to 2024-09-05 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.11.55-0-gb04f4285 |
| Structure | ThetaEngine |
| Legs | 1 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 19 | 1 |
| Win/Loss rate | 19 / 0 | - |
| Adjustments | 8 | - |
| PT Hits | 15 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 1 | - |
| Settlements | 6 | - |
| Avg Days in Trade | 30.96 | 247 |
| Cumulative Return | 116.46% | 15.99% |
| CAGR | 213.05% | 24.51% |
| Max Drawdown from Peak |
-24.12% | -9.31% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 1.51 | 1.64 |
| Alpha | 1.78 | - |
| Beta | -1.17 | - |
| Kelly Criterion | 6.54 | 12.01 |
| Profit Factor | 1.59 | 1.24 |
| Probabilistic Sharpe | 98.32% | 88.82% |
| Annual Volatility | 100.12% | 13.98% |
| Omega | 1.59 | - |
| Information ratio | 0.06 | - |
| Avg Drawdown | -2.97% | -1.08% |
| Avg Drawdown Days | 5 | 6 |
| Avg Up Month | 21.26 | 3.37 |
| Avg Down Month | -11.61% | -3.15% |
| R^2 | 0.03 | 0.03 |
| Calmar | 8.83 | 2.63 |
| Treynor | -99.58 | - |