Name | [ThetaEngine] / VolZilla |
Period | 2024-01-02 - 2024-09-05 |
Version | MesoSim-2.11.55-0-gb04f4285 |
Symbol | SPX |
Cash | $5000000 |
Structure | ShortPut |
Max number of positions in flight | 10 |
Expirations | 1 |
Legs | 1 |
Metric | Strategy | SPX |
---|---|---|
Trade Count | 67 | 1 |
Win/Loss rate | 57 / 10 = 5.7 | |
Adjustments | 0 | |
PT Hits | 57 | |
SL Hits | 10 | |
Max DIT Reaches | 0 | |
Settlements | 0 | |
Avg Days in Trade | 30.07 | 247 |
Cumulative Return | -8.67% | 16.31% |
CAGR | -12.54% | 25.02% |
Max Drawdown | -19.44% | -9.12% |
Sharpe | -0.53 | 1.71 |
Alpha | -0.39 | - |
Beta | 1.21 | - |
Kelly Criterion | -11.9 | 7.98 |
Profit Factor | 0.83 | 1.35 |
Probabilistic Sharpe | 30.44% | 89.56% |
Smart Sharpe | -0.43 | 1.39 |
Annual Volatility | 20.76% | 13.59% |
Omega | 0.83 | - |
Information ratio | -0.17 | - |
Avg Drawdown | -1.3% | -1.35% |
Avg Drawdown Days | 7 | 9 |
Avg Up Month | 2.2100 | 3.4300 |
Avg Down Month | -1.44% | -3.01% |
R^2 | 0.63 | 0.63 |
Calmar | -0.64 | 2.74 |
Treynor | -7.16 | - |