Name[BTCUSD-Short-Put] / BTCUSD-Short-Put-2022
Period2021-12-31 - 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 9.03363
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 -
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