AlgoStreets-Volatility-Alpha
Advanced volatility arbitrage strategy utilizing sophisticated option structures and dynamic hedging. Proprietary algorithms identify and exploit pricing inefficiencies in the options market.
Gross CAGR
33.6% p.a.
Net CAGR (After Fees)
25.7% p.a.
Sharpe Ratio
2.85
Win Rate
77.8%
Max Drawdown
-9.25%
Best Trade
$8,750.00
Worst Trade
$-3,125.00
Risk Analysis
- Average Trade P&L: $3,845.83
- P&L Standard Deviation: $2,450.50
- Winning Trades: 28
- Losing Trades: 7
- Risk/Reward Ratio: 2.80:1
Performance Statistics
- Gross CAGR: 33.6% p.a.
- Net CAGR (After Fees): 25.7% p.a.
- Expected Monthly Return: 2.14%
- Profit Factor: 2.80
- Recovery Factor: 14.97