| Strategy | Put Credit Spread / Put Credit Spread Statement StrikeSelector | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2024-01-02 to 2024-12-30 | 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 | 2024-01-02 to 2024-12-30 |
| 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 | 10 / 1 = 10 | - |
| Adjustments | 0 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 11 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 31.55 | 363 |
| Cumulative Return | 11.34% | 24.92% |
| CAGR | 11.41% | 25.07% |
| Max Drawdown from Peak |
-4.63% | -8.73% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 1.6 | 1.85 |
| Alpha | -0.01 | - |
| Beta | 0.52 | - |
| Kelly Criterion | 8.58 | 11.44 |
| Profit Factor | 1.23 | 1.26 |
| Probabilistic Sharpe | 94.07% | 96.28% |
| Annual Volatility | 6.91% | 12.49% |
| Omega | 1.23 | - |
| Information ratio | -0.08 | - |
| Avg Drawdown | -0.49% | -1.01% |
| Avg Drawdown Days | 5 | 6 |
| Avg Up Month | 1.56 | 2.94 |
| Avg Down Month | -2.33% | -3.25% |
| R^2 | 0.87 | 0.87 |
| Calmar | 2.47 | 2.87 |
| Treynor | 22.01 | - |