Name | [SPX-Strangle-Adjusting] / SPX-Strangle-Adjusting-2021 |
Period | 2021-01-04 - 2021-12-30 |
Version | MesoSim-2.5.0-0-gaa0ecb4 |
Symbol | SPX |
Cash | $10000 |
Structure | Short Strangle |
Max number of positions in flight | 1 |
Expirations | 1 |
Legs | 2 |
Metric | Strategy | SPX |
---|---|---|
Trade Count | 11 | 1 |
Win/Loss rate | 10 / 1 = 10 | |
Adjustments | 55 | |
PT Hits | 0 | |
SL Hits | 0 | |
Max DIT Reaches | 0 | |
Settlements | 0 | |
Avg Days in Trade | 32.55 | 360 |
Cumulative Return | 201.69% | 29.93% |
CAGR | 206.35% | 30.41% |
Max Drawdown | -31.62% | -5.43% |
Sharpe | 2.15 | 2.08 |
Alpha | 0.4 | - |
Beta | 3.33 | - |
Kelly Criterion | 18.4 | 9.1 |
Profit Factor | 1.63 | 1.43 |
Probabilistic Sharpe | 97.67% | 97.69% |
Smart Sharpe | 1.76 | 1.7 |
Annual Volatility | 60.73% | 13.16% |
Omega | 1.63 | - |
Information ratio | 0.13 | - |
Avg Drawdown | -4.46% | -1.24% |
Avg Drawdown Days | 6 | 8 |
Avg Up Month | 18.5500 | 3.4700 |
Avg Down Month | -10.08% | -1.34% |
R^2 | 0.52 | 0.52 |
Calmar | 6.53 | 5.6 |
Treynor | 60.55 | - |