| Name | [WeekendEffect] / WeekendEffect-ShortStrangle-16-22 |
| Period | 2016-08-01 - 2022-12-30 |
| Version | MesoSim-2.10.3-0-g732a118 |
| Symbol | SPX |
| Cash | $10000 |
| Structure | Short Strangle |
| Max number of positions in flight | 1 |
| Expirations | 1 |
| Legs | 2 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 322 | 1 |
| Win/Loss rate | 254 / 68 = 3.74 | |
| Adjustments | 0 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 321 | |
| Settlements | 2 | |
| Avg Days in Trade | 3.09 | 2342 |
| Cumulative Return | 242.28% | 76.3% |
| CAGR | 21.14% | 9.24% |
| Max Drawdown | -30.07% | -33.71% |
| Sharpe | 1.02 | 0.54 |
| Alpha | 0.17 | - |
| Beta | 0.02 | - |
| Kelly Criterion | 13.66 | -22.25 |
| Profit Factor | 1.72 | 1.11 |
| Probabilistic Sharpe | 98.18% | 92.98% |
| Smart Sharpe | 1.02 | 0.53 |
| Annual Volatility | 17.18% | 16.17% |
| Omega | 1.72 | - |
| Information ratio | 0.02 | - |
| Avg Drawdown | -0.82% | -1.73% |
| Avg Drawdown Days | 11 | 17 |
| Avg Up Month | 3.2100 | 2.8600 |
| Avg Down Month | -3.88% | -6.32% |
| R^2 | 0 | 0 |
| Calmar | 0.7 | 0.27 |
| Treynor | 9725.16 | - |