Enter-DownDay-2022

Finished
[Enter-DownDay]
SPX 2022-01-03 → 2022-12-30· 1.0 y ShortStrangle2 legs1 expirationMax positions 1
Finished 23-02-19 12:44Version MesoSim-2.4.0-0-g6ed4d42
Cumulative Return help 75.03% SPX -20.33%
CAGR help 76.11% SPX -20.53%
Win/Loss rate 1.26 wins / 5 losses
Trade Count 11Avg Days in Trade 21.45
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. Drawdown is measured on every NAV row. Click a legend entry to hide its series.

Risk Graph at first entry

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Statistics

Metric StrategySPX
Trades
Trade Count 111
Win/Loss rate 6 / 5 = 1.2-
Adjustments 20-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 1-
Settlements 0-
Avg Days in Trade 21.45361
Performance
Cumulative Return 75.03%-20.33%
CAGR 76.11%-20.53%
Max Drawdown
from Peak		 -34.03%-25.39%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 1.34-0.85
Alpha 0.79-
Beta 0.5-
Kelly Criterion 22.96-40.45
Profit Factor 1.420.87
Probabilistic Sharpe 92.63%19.89%
Annual Volatility 51.59%23.62%
Omega 1.42-
Information ratio 0.11-
Avg Drawdown -5.57%-25.39%
Avg Drawdown Days 25360
Avg Up Month 9.596.82
Avg Down Month -3.78%-7.13%
R^2 0.050.05
Calmar 2.24-0.81
Treynor 150.57-

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