rhino_5aa7e8308b5303b2

Finished
GeneticRhino-SPX-25Q4-OOS
SPX 2018-01-02 → 2021-12-31· 4.0 y $250000 Rhino-like5 legs2 expirationsMax positions 12
Finished 25-11-16 18:41Version MesoSim-3.0.10-0-g72f035f3
Cumulative Return help 42.19% SPX 77.94%
CAGR help 9.21% SPX 15.51%
Win/Loss rate 4.97169 wins / 34 losses
Trade Count 203Avg Days in Trade 35.43
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.

Risk Graph at first entry

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Statistics

Metric StrategySPX
Trades
Trade Count 2031
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 35.431459
Performance
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/AN/A
Sharpe 2.20.89
Alpha 0.07-
Beta 0.09-
Kelly Criterion 11.964.08
Profit Factor 1.331.12
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 68
Avg Up Month 1.073.85
Avg Down Month -1.25%-7.29%
R^2 0.170.17
Calmar 1.370.44
Treynor 460.18-

Next steps

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