Name | [SPX-TrailingStop] / Bull Market |
Period | 2021-01-04 - 2021-12-30 |
Version | MesoSim-2.10.1-0-g458485c |
Symbol | SPX |
Cash | $10000 |
Structure | Short Put |
Max number of positions in flight | 1 |
Expirations | 1 |
Legs | 1 |
Metric | Strategy | SPX |
---|---|---|
Trade Count | 27 | 1 |
Win/Loss rate | 15 / 12 = 1.25 | |
Adjustments | 124 | |
PT Hits | 0 | |
SL Hits | 0 | |
Max DIT Reaches | 5 | |
Settlements | 0 | |
Avg Days in Trade | 11.07 | 360 |
Cumulative Return | 98.82% | 29.93% |
CAGR | 100.73% | 30.41% |
Max Drawdown | -16.59% | -5.43% |
Sharpe | 2.1 | 2.07 |
Alpha | 0.21 | - |
Beta | 1.99 | - |
Kelly Criterion | 16.88 | 1.95 |
Profit Factor | 1.65 | 1.42 |
Probabilistic Sharpe | 97.21% | 97.69% |
Smart Sharpe | 2.02 | 1.99 |
Annual Volatility | 36% | 13.12% |
Omega | 1.65 | - |
Information ratio | 0.11 | - |
Avg Drawdown | -3.48% | -1.25% |
Avg Drawdown Days | 9 | 8 |
Avg Up Month | 12.1200 | 3.9400 |
Avg Down Month | -8.38% | -1.34% |
R^2 | 0.53 | 0.53 |
Calmar | 6.07 | 5.6 |
Treynor | 49.54 | - |