Name[ShortPut-EMACross] / ShortPut-EMACross
Period2021-01-04 - 2021-12-30
Version MesoSim-2.1.0-0-gf076bfa
Symbol SPX
Cash $10000
Structure ShortPut
Max number of positions in flight 1
Expirations 1
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 30.38360
Cumulative Return 84.26% 29.93%
CAGR 85.83% 30.41%
Max Drawdown -8.59% -5.43%
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%
Smart Sharpe 2.78 1.78
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 6.4500 3.0200
Avg Down Month -0.08% -1.34%
R^2 0.41 0.41
Calmar 9.99 5.6
Treynor 88.41 -
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