| Strategy | [ShortPut-EMACross] / ShortPut-EMACross | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2021-01-04 to 2021-12-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.1.0-0-gf076bfa | Structure | ShortPut | Legs | 1 |
| Strategy | [ShortPut-EMACross] / ShortPut-EMACross |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2021-01-04 to 2021-12-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.1.0-0-gf076bfa |
| Structure | ShortPut |
| Legs | 1 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 8 | 1 |
| Win/Loss rate | 8 / 0 | - |
| Adjustments | 0 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 8 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 30.38 | 360 |
| Cumulative Return | 84.26% | 29.93% |
| CAGR | 85.83% | 30.41% |
| Max Drawdown from Peak |
-8.59% | -5.43% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 3.23 | 2.07 |
| Alpha | 0.37 | - |
| Beta | 0.95 | - |
| Kelly Criterion | 45.1 | -3.17 |
| Profit Factor | 2.56 | 1.42 |
| Probabilistic Sharpe | 99.95% | 97.69% |
| Annual Volatility | 19.63% | 13.12% |
| Omega | 2.56 | - |
| Information ratio | 0.15 | - |
| Avg Drawdown | -1.13% | -1.25% |
| Avg Drawdown Days | 3 | 8 |
| Avg Up Month | 6.45 | 3.02 |
| Avg Down Month | -0.08% | -1.34% |
| R^2 | 0.41 | 0.41 |
| Calmar | 9.99 | 5.6 |
| Treynor | 88.41 | - |