| Name | [Short-Put] / Short-Put-2022 |
| Period | 2022-01-03 - 2022-12-30 |
| Version | MesoSim-2.4.0-0-g6ed4d42 |
| Symbol | SPX |
| Cash | $10000 |
| Structure | ShortPut |
| Max number of positions in flight | 1 |
| Expirations | 1 |
| Legs | 1 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 11 | 1 |
| Win/Loss rate | 9 / 2 = 4.5 | |
| Adjustments | 0 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 11 | |
| Settlements | 0 | |
| Avg Days in Trade | 30.55 | 361 |
| Cumulative Return | 79.47% | -20.33% |
| CAGR | 80.64% | -20.53% |
| Max Drawdown | -100.32% | -25.39% |
| Sharpe | -0.75 | -0.85 |
| Alpha | -28.7 | - |
| Beta | 3.84 | - |
| Kelly Criterion | 36.22 | -17.51 |
| Profit Factor | 0.36 | 0.87 |
| Probabilistic Sharpe | 12.82% | 19.89% |
| Smart Sharpe | -0.73 | -0.82 |
| Annual Volatility | 3910.52% | 23.62% |
| Omega | 0.36 | - |
| Information ratio | -0.05 | - |
| Avg Drawdown | -13.27% | -25.39% |
| Avg Drawdown Days | 18 | 360 |
| Avg Up Month | 25.3200 | 5.8300 |
| Avg Down Month | -19.04% | -4.64% |
| R^2 | 0 | 0 |
| Calmar | 0.8 | -0.81 |
| Treynor | 20.68 | - |