Bull Market

Finished
[SPX-Short-Put]
SPX 2021-01-04 → 2021-12-30· 1.0 y Short Put1 leg1 expirationMax positions 1
Finished 23-09-13 05:01Version MesoSim-2.10.1-0-g458485c
Cumulative Return help 194.5% SPX 29.93%
CAGR help 198.95% SPX 30.41%
Win/Loss rate 11 / 011 wins / 0 losses
Trade Count 11Avg Days in Trade 30.55
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. Drawdown is measured on every NAV row. Click a legend entry to hide its series.

Risk Graph at first entry

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Statistics

Metric StrategySPX
Trades
Trade Count 111
Win/Loss rate 11 / 0-
Adjustments 0-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 11-
Settlements 0-
Avg Days in Trade 30.55360
Performance
Cumulative Return 194.5%29.93%
CAGR 198.95%30.41%
Max Drawdown
from Peak		 -15.75%-5.43%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 2.782.07
Alpha 0.45-
Beta 2.68-
Kelly Criterion 31.93.81
Profit Factor 1.861.42
Probabilistic Sharpe 99.57%97.69%
Annual Volatility 42.32%13.12%
Omega 1.86-
Information ratio 0.18-
Avg Drawdown -2.38%-1.25%
Avg Drawdown Days 38
Avg Up Month 12.383.18
Avg Down Month -10.34%-1.34%
R^2 0.690.69
Calmar 12.635.6
Treynor 72.46-

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