| Strategy | [SPX-TrailingStop] / Bear Market | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2022-01-03 to 2022-12-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.10.1-0-g458485c | Structure | Short Put | Legs | 1 |
| Strategy | [SPX-TrailingStop] / Bear Market |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2022-01-03 to 2022-12-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.10.1-0-g458485c |
| Structure | Short Put |
| Legs | 1 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 50 | 1 |
| Win/Loss rate | 21 / 29 = 0.72 | - |
| Adjustments | 116 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 3 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 5.92 | 361 |
| Cumulative Return | 80.3% | -20.33% |
| CAGR | 81.49% | -20.53% |
| Max Drawdown from Peak |
-32.06% | -25.39% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 1.33 | -0.85 |
| Alpha | 1.1 | - |
| Beta | 1.75 | - |
| Kelly Criterion | 15.87 | -16.98 |
| Profit Factor | 1.34 | 0.87 |
| Probabilistic Sharpe | 90.83% | 19.9% |
| Annual Volatility | 56.65% | 23.62% |
| Omega | 1.34 | - |
| Information ratio | 0.14 | - |
| Avg Drawdown | -5.21% | -25.39% |
| Avg Drawdown Days | 13 | 360 |
| Avg Up Month | 16.26 | 5.83 |
| Avg Down Month | -4.74% | -6.2% |
| R^2 | 0.53 | 0.53 |
| Calmar | 2.54 | -0.81 |
| Treynor | 45.98 | - |