Name[WeekendEffect] / WeekendEffect-2021
Period2021-01-04 - 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 3357
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 -
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