Call Credit Spread MidPrice StrikeSelector

Finished
Call Credit Spread
SPX 2022-01-03 → 2022-12-30· 1.0 y Call Credit Spread2 legs1 expirationMax positions 1
Finished 25-01-23 12:26Version MesoSim-2.12.10-0-g9250044a
Cumulative Return help 6.47% SPX -19.91%
CAGR help 6.55% SPX -20.11%
Win/Loss rate 2.678 wins / 3 losses
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 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 8 / 3 = 2.67-
Adjustments 0-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 11-
Settlements 0-
Avg Days in Trade 31.55361
Performance
Cumulative Return 6.47%-19.91%
CAGR 6.55%-20.11%
Max Drawdown
from Peak		 -8.38%-26.7%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 0.72-0.83
Alpha 0.02-
Beta -0.24-
Kelly Criterion 43.83-63.4
Profit Factor 1.120.91
Probabilistic Sharpe 76.24%20.5%
Annual Volatility 9.36%23.71%
Omega 1.12-
Information ratio 0.04-
Avg Drawdown -1.04%-26.7%
Avg Drawdown Days 13360
Avg Up Month 0.52.8
Avg Down Month -0.08%-4.66%
R^2 0.360.36
Calmar 0.78-0.75
Treynor -27.29-

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