Name | [WeekendEffect] / WeekendEffect-2021 |
Period | 2021-01-04 - 2021-12-27 |
Version | MesoSim-2.5.0-0-gaa0ecb4 |
Symbol | SPX |
Cash | $10000 |
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 | - |