| Name | [ThetaEngine] / ThetaEngine-2022 |
| Period | 2022-01-03 - 2022-12-30 |
| Version | MesoSim-2.4.0-0-g6ed4d42 |
| Symbol | SPX |
| Cash | $10000 |
| Structure | ThetaEngine |
| Max number of positions in flight | 4 |
| Expirations | 1 |
| Legs | 1 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 33 | 1 |
| Win/Loss rate | 27 / 6 = 4.5 | |
| Adjustments | 0 | |
| PT Hits | 27 | |
| SL Hits | 6 | |
| Max DIT Reaches | 0 | |
| Settlements | 0 | |
| Avg Days in Trade | 38.88 | 361 |
| Cumulative Return | -83.61% | -20.04% |
| CAGR | -83.93% | -20.24% |
| Max Drawdown | -637.83% | -27.16% |
| Sharpe | 1.53 | -0.82 |
| Alpha | 516.54 | - |
| Beta | 50.41 | - |
| Kelly Criterion | 38.77 | 5.84 |
| Profit Factor | 6.72 | 0.88 |
| Probabilistic Sharpe | 99.98% | 20.85% |
| Smart Sharpe | 1.51 | -0.81 |
| Annual Volatility | 33176.66% | 24.08% |
| Omega | 6.72 | - |
| Information ratio | 0.1 | - |
| Avg Drawdown | -361.65% | -27.16% |
| Avg Drawdown Days | 179 | 360 |
| Avg Up Month | ||
| Avg Down Month | -91.69% | -6% |
| R^2 | 0 | 0 |
| Calmar | -0.13 | -0.75 |
| Treynor | -1.66 | - |