Name[WeekendEffect] / WeekendEffect-2023
Period2023-01-03 - 2023-08-30
Version MesoSim-2.10.4-0-g73c06c0
Symbol SPX
Cash $10000
Structure Short Strangle
Max number of positions in flight 1
Expirations 1
Legs 2
Metric Strategy SPX
Trade Count 33 1
Win/Loss rate 32 / 1 = 32
Adjustments 0
PT Hits 0
SL Hits 0
Max DIT Reaches 33
Settlements 0
Avg Days in Trade 3.12239
Cumulative Return 64.37% 16.43%
CAGR 113.6% 26.16%
Max Drawdown -2.23% -8.21%
Sharpe 5.5 1.54
Alpha 0.63 -
Beta 0.05 -
Kelly Criterion 42.56 -9.76
Profit Factor 14.7 1.29
Probabilistic Sharpe 100% 91.34%
Smart Sharpe 4.76 1.33
Annual Volatility 11.57% 13.08%
Omega 14.7 -
Information ratio 0.16 -
Avg Drawdown -0.12% -1.71%
Avg Drawdown Days 0 10
Avg Up Month 6.3400 3.3100
Avg Down Month
R^2 0 0
Calmar 50.95 3.19
Treynor 1323.79 -
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