| Strategy | 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 |
| Strategy | 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 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 | - |