Name | [ThetaEngine-VolatilityHedged] / VolZilla |
Period | 2024-01-02 - 2024-09-05 |
Version | MesoSim-2.11.55-0-gb04f4285 |
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 | 30.96 | 247 |
Cumulative Return | 116.46% | 15.99% |
CAGR | 213.05% | 24.51% |
Max Drawdown | -24.12% | -9.31% |
Sharpe | 1.51 | 1.64 |
Alpha | 1.78 | - |
Beta | -1.17 | - |
Kelly Criterion | 6.54 | 12.01 |
Profit Factor | 1.59 | 1.24 |
Probabilistic Sharpe | 98.32% | 88.82% |
Smart Sharpe | 1.47 | 1.59 |
Annual Volatility | 100.12% | 13.98% |
Omega | 1.59 | - |
Information ratio | 0.06 | - |
Avg Drawdown | -2.97% | -1.08% |
Avg Drawdown Days | 5 | 6 |
Avg Up Month | 21.2600 | 3.3700 |
Avg Down Month | -11.61% | -3.15% |
R^2 | 0.03 | 0.03 |
Calmar | 8.83 | 2.63 |
Treynor | -99.58 | - |