| Strategy | [RUT-ComplexStrikeSelector-DeltaToTheta] / BloodyPug | Symbol | RUT | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2022-01-03 to 2022-12-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.9.1-0-gb1769be | Structure | PDS | Legs | 2 |
| Strategy | [RUT-ComplexStrikeSelector-DeltaToTheta] / BloodyPug |
|---|---|
| Symbol | RUT |
| Max positions | 1 |
| Period | 2022-01-03 to 2022-12-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.9.1-0-gb1769be |
| Structure | PDS |
| Legs | 2 |
| Metric | Strategy | RUT |
|---|---|---|
| Trade Count | 3 | 1 |
| Win/Loss rate | 1 / 2 = 0.5 | - |
| Adjustments | 4 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 3 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 90.67 | 361 |
| Cumulative Return | -1.66% | -22.67% |
| CAGR | -1.67% | -22.89% |
| Max Drawdown from Peak |
-52.88% | -27.26% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 0.45 | -0.79 |
| Alpha | 0.96 | - |
| Beta | 2.49 | - |
| Kelly Criterion | 8.4 | -9.86 |
| Profit Factor | 1.1 | 0.88 |
| Probabilistic Sharpe | 67.2% | 21.6% |
| Annual Volatility | 92.37% | 27.83% |
| Omega | 1.1 | - |
| Information ratio | 0.05 | - |
| Avg Drawdown | -52.88% | -27.26% |
| Avg Drawdown Days | 360 | 360 |
| Avg Up Month | 15.19 | 5.66 |
| Avg Down Month | -15.78% | -7.35% |
| R^2 | 0.56 | 0.56 |
| Calmar | -0.03 | -0.84 |
| Treynor | -0.66 | - |