Put Credit Spread Statement StrikeSelector

Finished
Put Credit Spread
SPX 2024-01-02 → 2024-12-30· 1.0 y Put Credit Spread2 legs1 expirationMax positions 1
Finished 25-01-23 09:51Version MesoSim-2.12.10-0-g9250044a
Cumulative Return help 11.34% SPX 24.92%
CAGR help 11.41% SPX 25.07%
Win/Loss rate 1010 wins / 1 loss
Trade Count 11Avg Days in Trade 31.55
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 111
Win/Loss rate 10 / 1 = 10-
Adjustments 0-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 11-
Settlements 0-
Avg Days in Trade 31.55363
Performance
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/AN/A
Sharpe 1.61.85
Alpha -0.01-
Beta 0.52-
Kelly Criterion 8.5811.44
Profit Factor 1.231.26
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 56
Avg Up Month 1.562.94
Avg Down Month -2.33%-3.25%
R^2 0.870.87
Calmar 2.472.87
Treynor 22.01-

Next steps

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