Name[Strangle] / PanickyGecko
Period2021-01-04 - 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 -
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