Name | [WeekendEffect] / WeekendEffect-2023 |
Period | 2023-01-03 - 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 | 3.12 | 239 |
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 | - |