Name | [Strangle] / PanickyGecko |
Period | 2021-01-04 - 2021-12-30 |
Version | MesoSim-2.0.0 |
Symbol | SPX |
Cash | $10000 |
Structure | ShortStrangle |
Max number of positions in flight | 1 |
Expirations | 1 |
Legs | 2 |
Metric | Strategy | SPX |
---|---|---|
Trade Count | 6 | 1 |
Win/Loss rate | 5 / 0 = ∞ | |
Adjustments | 8 | |
PT Hits | 0 | |
SL Hits | 0 | |
Max DIT Reaches | 5 | |
Settlements | 0 | |
Avg Days in Trade | 70.6 | 360 |
Cumulative Return | 81.53% | 29.93% |
CAGR | 83.04% | 30.41% |
Max Drawdown | -13.22% | -5.43% |
Sharpe | 2.4 | 2.07 |
Alpha | 0.25 | - |
Beta | 1.4 | - |
Kelly Criterion | 12.8 | 7.82 |
Profit Factor | 1.62 | 1.42 |
Probabilistic Sharpe | 99.46% | 98.3% |
Smart Sharpe | 1.98 | 1.71 |
Annual Volatility | 26.41% | 13.12% |
Omega | 1.62 | - |
Information ratio | 0.12 | - |
Avg Drawdown | -1.96% | -1.25% |
Avg Drawdown Days | 6 | 8 |
Avg Up Month | 9.5800 | 3.4700 |
Avg Down Month | -7.46% | -1.34% |
R^2 | 0.49 | 0.49 |
Calmar | 6.28 | 5.6 |
Treynor | 58.15 | - |