| Strategy | GeneticRhino-SPX-25Q4-OOS / rhino_5aa7e8308b5303b2 | Symbol | SPX | Max positions | 12 |
|---|---|---|---|---|---|
| Period | 2018-01-02 to 2021-12-31 | Cash | $250000 | Expirations | 2 |
| Version | MesoSim-3.0.10-0-g72f035f3 | Structure | Rhino-like | Legs | 5 |
| Strategy | GeneticRhino-SPX-25Q4-OOS / rhino_5aa7e8308b5303b2 |
|---|---|
| Symbol | SPX |
| Max positions | 12 |
| Period | 2018-01-02 to 2021-12-31 |
| Cash | $250000 |
| Expirations | 2 |
| Version | MesoSim-3.0.10-0-g72f035f3 |
| Structure | Rhino-like |
| Legs | 5 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 203 | 1 |
| Win/Loss rate | 169 / 34 = 4.97 | - |
| Adjustments | 199 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 47 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 35.43 | 1459 |
| Cumulative Return | 42.19% | 77.94% |
| CAGR | 9.21% | 15.51% |
| Max Drawdown from Peak |
-6.74% | -34.87% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 2.2 | 0.89 |
| Alpha | 0.07 | - |
| Beta | 0.09 | - |
| Kelly Criterion | 11.96 | 4.08 |
| Profit Factor | 1.33 | 1.12 |
| Probabilistic Sharpe | 100% | 96.21% |
| Annual Volatility | 4.04% | 18% |
| Omega | 1.33 | - |
| Information ratio | -0.02 | - |
| Avg Drawdown | -0.26% | -1.19% |
| Avg Drawdown Days | 6 | 8 |
| Avg Up Month | 1.07 | 3.85 |
| Avg Down Month | -1.25% | -7.29% |
| R^2 | 0.17 | 0.17 |
| Calmar | 1.37 | 0.44 |
| Treynor | 460.18 | - |