Name | [BTCUSD-Short-Put] / BTCUSD-Short-Put-2022 |
Period | 2021-12-31 - 2022-12-29 |
Version | MesoSim-2.5.0-0-gaa0ecb4 |
Symbol | BTCUSD |
Cash | 1.000 |
Structure | Short Put |
Max number of positions in flight | 1 |
Expirations | 1 |
Legs | 1 |
Metric | Strategy | BTCUSD |
---|---|---|
Trade Count | 35 | 1 |
Win/Loss rate | 20 / 15 = 1.33 | |
Adjustments | 0 | |
PT Hits | 0 | |
SL Hits | 15 | |
Max DIT Reaches | 0 | |
Settlements | 0 | |
Avg Days in Trade | 9.03 | 363 |
Cumulative Return | -7.4% | -64.14% |
CAGR | -7.44% | -64.35% |
Max Drawdown | -16.73% | -66.96% |
Sharpe | -0.35 | -1.06 |
Alpha | 0.07 | - |
Beta | 0.2 | - |
Kelly Criterion | -5.64 | -16.59 |
Profit Factor | 0.93 | 0.82 |
Probabilistic Sharpe | 33.38% | 9.88% |
Smart Sharpe | -0.33 | -1.02 |
Annual Volatility | 12.9% | 53.46% |
Omega | 0.93 | - |
Information ratio | 0.08 | - |
Avg Drawdown | -16.73% | -66.96% |
Avg Drawdown Days | 362 | 362 |
Avg Up Month | 1.5900 | 9.4600 |
Avg Down Month | -2.91% | -18.05% |
R^2 | 0.7 | 0.7 |
Calmar | -0.44 | -0.96 |
Treynor | -36.68 | - |