Name[Enter-EMACross] / Enter-EMACross-2022
Period2022-01-03 - 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 9 1
Win/Loss rate 8 / 1 = 8
Adjustments 0
PT Hits 0
SL Hits 0
Max DIT Reaches 9
Settlements 0
Avg Days in Trade 30.78 361
Cumulative Return 69.75% -20.33%
CAGR 70.75% -20.53%
Max Drawdown -33.01% -25.39%
Sharpe 1.19 -0.85
Alpha 1.01 -
Beta 1.51 -
Kelly Criterion 26.31 -21.59
Profit Factor 1.4 0.87
Probabilistic Sharpe 88.94% 19.9%
Smart Sharpe 1.13 -0.81
Annual Volatility 59.39% 23.62%
Omega 1.4 -
Information ratio 0.12 -
Avg Drawdown -3.76% -25.39%
Avg Drawdown Days 7 360
Avg Up Month 7.3900 5.8300
Avg Down Month -8.82% -6.5%
R^2 0.36 0.36
Calmar 2.14 -0.81
Treynor 46.07 -
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