| Name | [ThetaEngine-VolatilityHedged] / JollyNarwhal |
| Period | 2024-01-02 - 2024-08-07 |
| Version | MesoSim-2.11.48-0-g25f6086 |
| Symbol | SPX |
| Cash | $50000 |
| Structure | ThetaEngine |
| Max number of positions in flight | 4 |
| Expirations | 1 |
| Legs | 1 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 19 | 1 |
| Win/Loss rate | 19 / 0 = ∞ | |
| Adjustments | 8 | |
| PT Hits | 15 | |
| SL Hits | 0 | |
| Max DIT Reaches | 1 | |
| Settlements | 6 | |
| Avg Days in Trade | 30.52 | 218 |
| Cumulative Return | 116.8% | 9.72% |
| CAGR | 265.32% | 16.79% |
| Max Drawdown | -28.85% | -9.38% |
| Sharpe | 1.53 | 1.09 |
| Alpha | 2.23 | - |
| Beta | -2.79 | - |
| Kelly Criterion | 2.11 | 1.33 |
| Profit Factor | 1.12 | 1.03 |
| Probabilistic Sharpe | 98.11% | 77.54% |
| Smart Sharpe | 1.53 | 1.08 |
| Annual Volatility | 115.22% | 15.39% |
| Omega | 1.12 | - |
| Information ratio | 0.01 | - |
| Avg Drawdown | -0.64% | -0.29% |
| Avg Drawdown Days | 1 | 1 |
| Avg Up Month | 11.8500 | 3.8400 |
| Avg Down Month | -17.63% | -4.36% |
| R^2 | 0.14 | 0.14 |
| Calmar | 9.2 | 1.79 |
| Treynor | -41.86 | - |