| Name | [WeekendEffect] / VolZilla |
| Period | 2024-01-02 - 2024-09-05 |
| Version | MesoSim-2.11.55-0-gb04f4285 |
| Symbol | SPX |
| Cash | $10000 |
| Structure | Short Strangle |
| Max number of positions in flight | 1 |
| Expirations | 1 |
| Legs | 2 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 34 | 1 |
| Win/Loss rate | 27 / 7 = 3.86 | |
| Adjustments | 0 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 34 | |
| Settlements | 0 | |
| Avg Days in Trade | 3.12 | 247 |
| Cumulative Return | -49.89% | 16.67% |
| CAGR | -63.97% | 25.59% |
| Max Drawdown | -64.23% | -8.78% |
| Sharpe | -0.59 | 1.71 |
| Alpha | -1.07 | - |
| Beta | 2.51 | - |
| Kelly Criterion | -90.54 | -50.09 |
| Profit Factor | 0.61 | 1.33 |
| Probabilistic Sharpe | 26.69% | 90.03% |
| Smart Sharpe | -0.59 | 1.71 |
| Annual Volatility | 79.13% | 13.91% |
| Omega | 0.61 | - |
| Information ratio | -0.05 | - |
| Avg Drawdown | -4.43% | -1.3% |
| Avg Drawdown Days | 9 | 9 |
| Avg Up Month | 4.0100 | 3.1200 |
| Avg Down Month | ||
| R^2 | 0.19 | 0.19 |
| Calmar | -1 | 2.91 |
| Treynor | -19.87 | - |