Name Put Credit Spread / Put Credit Spread Statement StrikeSelector Symbol SPX Max positions 1
Period 2022-01-03 to 2022-12-30 Cash - Expirations 1
Version MesoSim-2.12.10-0-g9250044a Structure Put Credit Spread Legs 2
Name Put Credit Spread / Put Credit Spread Statement StrikeSelector
Symbol SPX
Max positions 1
Period 2022-01-03 to 2022-12-30
Cash -
Expirations 1
Version MesoSim-2.12.10-0-g9250044a
Structure Put Credit Spread
Legs 2
Metric Strategy SPX
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
Cumulative Return -15.9% -19.91%
CAGR -16.06% -20.11%
Max Drawdown -17.78% -26.7%
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%
Smart Sharpe -1.73 -0.82
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 -
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