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| 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 | |
| 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 | - |