| Strategy | [ThetaEngine] / VolZilla | Symbol | SPX | Max positions | 10 |
|---|---|---|---|---|---|
| Period | 2024-01-02 to 2024-09-05 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.11.55-0-gb04f4285 | Structure | ShortPut | Legs | 1 |
| Strategy | [ThetaEngine] / VolZilla |
|---|---|
| Symbol | SPX |
| Max positions | 10 |
| Period | 2024-01-02 to 2024-09-05 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.11.55-0-gb04f4285 |
| Structure | ShortPut |
| 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 from Peak |
-19.44% | -9.12% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| 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% |
| 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 | 2.21 | 3.43 |
| Avg Down Month | -1.44% | -3.01% |
| R^2 | 0.63 | 0.63 |
| Calmar | -0.64 | 2.74 |
| Treynor | -7.16 | - |