Put Credit Spread Statement StrikeSelector
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Strategy:
Put Credit Spread
SPXdate_range
Period:
2022-01-03 → 2022-12-30· 1.0 ystacked_line_chart
Structure:
Put Credit Spreadformat_list_bulleted2 legsevent1 expirationlayersMax positions 1
Finished
25-01-23 12:27Version
MesoSim-2.12.10-0-g9250044a
Cumulative Return help
-15.9%
SPX -19.91%
CAGR help
-16.06%
SPX -20.11%
Win/Loss rate
0.574 wins / 7 losses
Trade Count
11Avg Days in Trade 31.64
info
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. Drawdown is the strategy's, from its peak on every NAV row; click SPX drawdown to compare. Click a legend entry to hide its series.
area_chartRisk Graph at first entry
table_chartStatistics
| Metric | Strategy | SPX |
|---|---|---|
| Trades | ||
| Trade Count | 11 | 1 |
| Win/Loss rate | 4 / 7 = 0.57 | - |
| Adjustments | 0 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 11 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 31.64 | 361 |
| Performance | ||
| Cumulative Return | -15.9% | -19.91% |
| CAGR | -16.06% | -20.11% |
| Max Drawdown from Peak |
-17.78% | -26.7% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | -1.75 | -0.83 |
| Alpha | -0.1 | - |
| Beta | 0.38 | - |
| Kelly Criterion | -12.46 | -4.93 |
| Profit Factor | 0.81 | 0.91 |
| Probabilistic Sharpe | 4.03% | 20.51% |
| Annual Volatility | 9.7% | 23.71% |
| Omega | 0.81 | - |
| Information ratio | 0.01 | - |
| Avg Drawdown | -17.78% | -26.7% |
| Avg Drawdown Days | 360 | 360 |
| Avg Up Month | 1.72 | 6.36 |
| Avg Down Month | -3.07% | -6.5% |
| R^2 | 0.86 | 0.86 |
| Calmar | -0.9 | -0.75 |
| Treynor | -41.79 | - |