| Name | [Strangle] / Strangle-2022 |
| Period | 2022-01-03 - 2022-12-30 |
| Version | MesoSim-2.4.0-0-g6ed4d42 |
| Symbol | SPX |
| Cash | $10000 |
| Structure | ShortStrangle |
| Max number of positions in flight | 1 |
| Expirations | 1 |
| Legs | 2 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 17 | 1 |
| Win/Loss rate | 3 / 14 = 0.21 | |
| Adjustments | 32 | |
| PT Hits | 0 | |
| SL Hits | 1 | |
| Max DIT Reaches | 1 | |
| Settlements | 0 | |
| Avg Days in Trade | 15.59 | 361 |
| Cumulative Return | -312.3% | -20.33% |
| CAGR | 114.08% | -20.53% |
| Max Drawdown | -341.88% | -25.39% |
| Sharpe | -0.84 | -0.85 |
| Alpha | -1.98 | - |
| Beta | 1.14 | - |
| Kelly Criterion | -161.02 | 8.21 |
| Profit Factor | 0.47 | 0.87 |
| Probabilistic Sharpe | 8.59% | 19.98% |
| Smart Sharpe | -0.82 | -0.84 |
| Annual Volatility | 264.13% | 23.78% |
| Omega | 0.47 | - |
| Information ratio | -0.05 | - |
| Avg Drawdown | -75.52% | -25.39% |
| Avg Drawdown Days | 70 | 360 |
| Avg Up Month | ||
| Avg Down Month | -7.03% | -5.26% |
| R^2 | 0.01 | 0.01 |
| Calmar | 0.33 | -0.81 |
| Treynor | -275.02 | - |