| Strategy | [Enter-DownDay] / Enter-DownDay-2022 | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2022-01-03 to 2022-12-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.4.0-0-g6ed4d42 | Structure | ShortStrangle | Legs | 2 |
| Strategy | [Enter-DownDay] / Enter-DownDay-2022 |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2022-01-03 to 2022-12-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.4.0-0-g6ed4d42 |
| Structure | ShortStrangle |
| Legs | 2 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 11 | 1 |
| 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 | 21.45 | 361 |
| 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/A | N/A |
| Sharpe | 1.34 | -0.85 |
| Alpha | 0.79 | - |
| Beta | 0.5 | - |
| Kelly Criterion | 22.96 | -40.45 |
| Profit Factor | 1.42 | 0.87 |
| 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 | 25 | 360 |
| Avg Up Month | 9.59 | 6.82 |
| Avg Down Month | -3.78% | -7.13% |
| R^2 | 0.05 | 0.05 |
| Calmar | 2.24 | -0.81 |
| Treynor | 150.57 | - |