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| Name | [WeekendEffect] / WeekendEffect-2021 |
| Period | 2021-01-04 - 2021-12-27 |
| Version | MesoSim-2.5.0-0-gaa0ecb4 |
| Symbol | SPX |
| Cash | |
| Structure | Short Put |
| Max number of positions in flight | 1 |
| Expirations | 1 |
| Legs | 1 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 44 | 1 |
| Win/Loss rate | 38 / 6 = 6.33 | |
| Adjustments | 0 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 44 | |
| Settlements | 0 | |
| Avg Days in Trade | 3 | 357 |
| Cumulative Return | 51.81% | 26.51% |
| CAGR | 53.23% | 27.18% |
| Max Drawdown | -7.13% | -4.54% |
| Sharpe | 4.88 | 3.21 |
| Alpha | 0.99 | - |
| Beta | 0.21 | - |
| Kelly Criterion | 22.59 | -67.82 |
| Profit Factor | 3.45 | 1.79 |
| Probabilistic Sharpe | 98.93% | 97.9% |
| Smart Sharpe | 4.39 | 2.89 |
| Annual Volatility | 23.06% | 19.83% |
| Omega | 3.45 | - |
| Information ratio | 0.11 | - |
| Avg Drawdown | -0.57% | -1.41% |
| Avg Drawdown Days | 8 | 12 |
| Avg Up Month | 4.3300 | 3.1500 |
| Avg Down Month | -3.77% | -3.84% |
| R^2 | 0.03 | 0.03 |
| Calmar | 7.47 | 5.99 |
| Treynor | 250.9 | - |