Name[Strangle-DownDay] / Strangle-DownDay
Period2021-01-04 - 2021-12-30
Version MesoSim-2.1.0-0-gf076bfa
Symbol SPX
Cash $10000
Structure ShortStrangle
Max number of positions in flight 1
Expirations 1
Legs 2
Metric Strategy SPX
Trade Count 3 1
Win/Loss rate 3 / 0 = ∞
Adjustments 5
PT Hits 0
SL Hits 0
Max DIT Reaches 3
Settlements 0
Avg Days in Trade 90.33360
Cumulative Return 72.5% 29.93%
CAGR 73.81% 30.41%
Max Drawdown -15.81% -5.43%
Sharpe 2 2.07
Alpha 0.16 -
Beta 1.6 -
Kelly Criterion 18.17 5.07
Profit Factor 1.54 1.42
Probabilistic Sharpe 96.82% 97.69%
Smart Sharpe 1.63 1.69
Annual Volatility 29.58% 13.12%
Omega 1.54 -
Information ratio 0.09 -
Avg Drawdown -2.41% -1.25%
Avg Drawdown Days 6 8
Avg Up Month 7.9700 3.2800
Avg Down Month -10.55% -1.34%
R^2 0.5 0.5
Calmar 4.67 5.6
Treynor 45.27 -
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