Name | [SPX-Short-Put] / SPX-Short-Put-2021 |
Period | 2021-01-04 - 2021-12-30 |
Version | MesoSim-2.5.0-0-gaa0ecb4 |
Symbol | SPX |
Cash | $10000 |
Structure | Short Put |
Max number of positions in flight | 1 |
Expirations | 1 |
Legs | 1 |
Metric | Strategy | SPX |
---|---|---|
Trade Count | 11 | 1 |
Win/Loss rate | 11 / 0 = ∞ | |
Adjustments | 0 | |
PT Hits | 0 | |
SL Hits | 0 | |
Max DIT Reaches | 11 | |
Settlements | 0 | |
Avg Days in Trade | 30.55 | 360 |
Cumulative Return | 194.5% | 29.93% |
CAGR | 198.95% | 30.41% |
Max Drawdown | -15.75% | -5.43% |
Sharpe | 2.78 | 2.07 |
Alpha | 0.45 | - |
Beta | 2.68 | - |
Kelly Criterion | 31.9 | 3.81 |
Profit Factor | 1.86 | 1.42 |
Probabilistic Sharpe | 99.57% | 97.69% |
Smart Sharpe | 2.14 | 1.6 |
Annual Volatility | 42.32% | 13.12% |
Omega | 1.86 | - |
Information ratio | 0.18 | - |
Avg Drawdown | -2.38% | -1.25% |
Avg Drawdown Days | 3 | 8 |
Avg Up Month | 12.3800 | 3.1800 |
Avg Down Month | -10.34% | -1.34% |
R^2 | 0.69 | 0.69 |
Calmar | 12.63 | 5.6 |
Treynor | 72.46 | - |