| Strategy | [WeekendEffect] / WeekendEffect-2023 | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2023-01-03 to 2023-08-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.10.4-0-g73c06c0 | Structure | Short Strangle | Legs | 2 |
| Strategy | [WeekendEffect] / WeekendEffect-2023 |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2023-01-03 to 2023-08-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.10.4-0-g73c06c0 |
| Structure | Short Strangle |
| 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 from Peak |
-2.23% | -8.21% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| 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% |
| 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 | 6.34 | 3.31 |
| Avg Down Month | N/A | N/A |
| R^2 | 0 | 0 |
| Calmar | 50.95 | 3.19 |
| Treynor | 1323.79 | - |