Name | [FixedWidthSpread] / FixedWidthSpread |
Period | 2021-01-04 - 2021-12-30 |
Version | MesoSim-2.9.1-0-gb1769be |
Symbol | SPX |
Cash | $10000 |
Structure | Short Strangle |
Max number of positions in flight | 1 |
Expirations | 1 |
Legs | 2 |
Metric | Strategy | SPX |
---|---|---|
Trade Count | 3 | 1 |
Win/Loss rate | 3 / 0 = ∞ | |
Adjustments | 0 | |
PT Hits | 0 | |
SL Hits | 0 | |
Max DIT Reaches | 3 | |
Settlements | 0 | |
Avg Days in Trade | 90.67 | 360 |
Cumulative Return | 43.6% | 29.93% |
CAGR | 44.32% | 30.41% |
Max Drawdown | -9.01% | -5.43% |
Sharpe | 2.15 | 2.07 |
Alpha | 0.02 | - |
Beta | 1.31 | - |
Kelly Criterion | 18.23 | 16.88 |
Profit Factor | 1.46 | 1.42 |
Probabilistic Sharpe | 98.01% | 97.69% |
Smart Sharpe | 1.83 | 1.76 |
Annual Volatility | 17.66% | 13.12% |
Omega | 1.46 | - |
Information ratio | 0.12 | - |
Avg Drawdown | -1.67% | -1.25% |
Avg Drawdown Days | 7 | 8 |
Avg Up Month | 4.4300 | 3.1800 |
Avg Down Month | -3.44% | -2.48% |
R^2 | 0.94 | 0.94 |
Calmar | 4.92 | 5.6 |
Treynor | 33.33 | - |