Name[SPX-Strangle-Adjusting] / SPX-Strangle-Adjusting-2021
Period2021-01-04 - 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 32.55360
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 -
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