| Name | [ThetaEngine-VolatilityHedged] / JollyNarwhal |
| Period | 2020-01-02 - 2024-08-07 |
| Version | MesoSim-2.11.49-0-gcff1b59 |
| Symbol | SPX |
| Cash | $50000 |
| Structure | ThetaEngine |
| Max number of positions in flight | 4 |
| Expirations | 1 |
| Legs | 1 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 141 | 1 |
| Win/Loss rate | 133 / 8 = 16.63 | |
| Adjustments | 46 | |
| PT Hits | 105 | |
| SL Hits | 2 | |
| Max DIT Reaches | 15 | |
| Settlements | 32 | |
| Avg Days in Trade | 35.57 | 1679 |
| Cumulative Return | 553.93% | 60.28% |
| CAGR | 50.41% | 10.8% |
| Max Drawdown | -34.05% | -35.34% |
| Sharpe | 1.52 | 0.6 |
| Alpha | 0.38 | - |
| Beta | 0.6 | - |
| Kelly Criterion | 1.9 | 0.21 |
| Profit Factor | 1.06 | 1.02 |
| Probabilistic Sharpe | 99.98% | 89.8% |
| Smart Sharpe | 1.48 | 0.58 |
| Annual Volatility | 29.71% | 20.75% |
| Omega | 1.06 | - |
| Information ratio | 0.01 | - |
| Avg Drawdown | -0.35% | -0.37% |
| Avg Drawdown Days | 1 | 2 |
| Avg Up Month | 5.5800 | 4.6100 |
| Avg Down Month | -3.95% | -4.11% |
| R^2 | 0.18 | 0.18 |
| Calmar | 1.48 | 0.31 |
| Treynor | 919.15 | - |