| Name | [SPX-Strangle-Adjusting] / Adjusting |
| Period | 2022-01-03 - 2023-12-29 |
| Version | MesoSim-2.12.4-0-g278eb1a3 |
| Symbol | SPX |
| Cash | $100000 |
| Structure | Short Strangle |
| Max number of positions in flight | 1 |
| Expirations | 1 |
| Legs | 2 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 20 | 1 |
| Win/Loss rate | 15 / 5 = 3 | |
| Adjustments | 95 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 1 | |
| Settlements | 0 | |
| Avg Days in Trade | 34.25 | 725 |
| Cumulative Return | 19.93% | -0.35% |
| CAGR | 9.58% | -0.17% |
| Max Drawdown | -5.56% | -25.39% |
| Sharpe | 1.32 | 0.09 |
| Alpha | 0.09 | - |
| Beta | 0.14 | - |
| Kelly Criterion | 7.46 | -32.66 |
| Profit Factor | 1.29 | 1.01 |
| Probabilistic Sharpe | 95.24% | 54.82% |
| Smart Sharpe | 1.31 | 0.09 |
| Annual Volatility | 7.15% | 19.08% |
| Omega | 1.29 | - |
| Information ratio | 0.03 | - |
| Avg Drawdown | -0.78% | -25.39% |
| Avg Drawdown Days | 12 | 724 |
| Avg Up Month | 1.2800 | 4.9400 |
| Avg Down Month | -2.17% | -4.72% |
| R^2 | 0.14 | 0.14 |
| Calmar | 1.72 | -0.01 |
| Treynor | 142.61 | - |