Name[Enter-Campaign] / Enter-Campaign-2022
Period2022-01-03 - 2022-12-30
Version MesoSim-2.4.0-0-g6ed4d42
Symbol SPX
Cash $10000
Structure ShortStrangle
Max number of positions in flight 4
Expirations 1
Legs 2
Metric Strategy SPX
Trade Count 96 1
Win/Loss rate 61 / 35 = 1.74
Adjustments 89
PT Hits 0
SL Hits 1
Max DIT Reaches 60
Settlements 0
Avg Days in Trade 8.94 361
Cumulative Return -260.5% -20.33%
CAGR 61.34% -20.53%
Max Drawdown -331.94% -25.39%
Sharpe -1.13 -0.85
Alpha -6.16 -
Beta 3 -
Kelly Criterion -146.91 6.77
Profit Factor 0.33 0.87
Probabilistic Sharpe 0.7% 19.98%
Smart Sharpe -1.11 -0.83
Annual Volatility 598.14% 23.78%
Omega 0.33 -
Information ratio -0.07 -
Avg Drawdown -93.37% -25.39%
Avg Drawdown Days 86 360
Avg Up Month
Avg Down Month -14.17% -4.96%
R^2 0.01 0.01
Calmar 0.18 -0.81
Treynor -86.73 -
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