Name | [ShortPut-EMACross] / ShortPut-EMACross |
Period | 2021-01-04 - 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 | 30.38 | 360 |
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 | - |