WeekendEffect-ShortStrangle-16-22

Finished
[WeekendEffect]
SPX 2016-08-01 → 2022-12-30· 6.4 y Short Strangle2 legs1 expirationMax positions 1
Finished 23-09-19 10:48Version MesoSim-2.10.3-0-g732a118
Cumulative Return help 242.28% SPX 76.3%
CAGR help 21.14% SPX 9.24%
Win/Loss rate 3.74254 wins / 68 losses
Trade Count 322Avg Days in Trade 3.09
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. Drawdown is the strategy's, from its peak on every NAV row; click SPX drawdown to compare. Click a legend entry to hide its series.

Risk Graph at first entry

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Statistics

Metric StrategySPX
Trades
Trade Count 3221
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 3.092342
Performance
Cumulative Return 242.28%76.3%
CAGR 21.14%9.24%
Max Drawdown
from Peak		 -30.07%-33.71%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 1.020.54
Alpha 0.17-
Beta 0.02-
Kelly Criterion 13.66-22.25
Profit Factor 1.721.11
Probabilistic Sharpe 98.18%92.98%
Annual Volatility 17.18%16.17%
Omega 1.72-
Information ratio 0.02-
Avg Drawdown -0.82%-1.73%
Avg Drawdown Days 1117
Avg Up Month 3.212.86
Avg Down Month -3.88%-6.32%
R^2 00
Calmar 0.70.27
Treynor 9725.16-

Next steps

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