Name | [SPX-TrailingStop] / VolZilla |
Period | 2024-01-02 - 2024-09-05 |
Version | MesoSim-2.11.55-0-gb04f4285 |
Symbol | SPX |
Cash | $10000 |
Structure | Short Put |
Max number of positions in flight | 1 |
Expirations | 1 |
Legs | 1 |
Metric | Strategy | SPX |
---|---|---|
Trade Count | 22 | 1 |
Win/Loss rate | 12 / 10 = 1.2 | |
Adjustments | 88 | |
PT Hits | 0 | |
SL Hits | 0 | |
Max DIT Reaches | 3 | |
Settlements | 0 | |
Avg Days in Trade | 8.59 | 247 |
Cumulative Return | -17.16% | 16.39% |
CAGR | -24.29% | 25.15% |
Max Drawdown | -58.96% | -8.54% |
Sharpe | -0.01 | 1.72 |
Alpha | -0.82 | - |
Beta | 3.51 | - |
Kelly Criterion | -4.98 | -7.7 |
Profit Factor | 1 | 1.37 |
Probabilistic Sharpe | 49.72% | 90.67% |
Smart Sharpe | -0.01 | 1.66 |
Annual Volatility | 66.44% | 13.53% |
Omega | 1 | - |
Information ratio | -0.03 | - |
Avg Drawdown | -5.7% | -1.5% |
Avg Drawdown Days | 10 | 10 |
Avg Up Month | 9.0500 | 3.5800 |
Avg Down Month | -13.71% | -1.82% |
R^2 | 0.51 | 0.51 |
Calmar | -0.41 | 2.95 |
Treynor | -4.89 | - |