Name | Call Credit Spread / Call Credit Spread MidPrice StrikeSelector |
Period | 2022-01-03 - 2022-12-30 |
Version | MesoSim-2.12.10-0-g9250044a |
Symbol | SPX |
Cash | $100000 |
Structure | Call Credit Spread |
Max number of positions in flight | 1 |
Expirations | 1 |
Legs | 2 |
Metric | Strategy | SPX |
---|---|---|
Trade Count | 11 | 1 |
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 | 31.55 | 361 |
Cumulative Return | 6.47% | -19.91% |
CAGR | 6.55% | -20.11% |
Max Drawdown | -8.38% | -26.7% |
Sharpe | 0.72 | -0.83 |
Alpha | 0.02 | - |
Beta | -0.24 | - |
Kelly Criterion | 43.83 | -63.4 |
Profit Factor | 1.12 | 0.91 |
Probabilistic Sharpe | 76.24% | 20.5% |
Smart Sharpe | 0.68 | -0.78 |
Annual Volatility | 9.36% | 23.71% |
Omega | 1.12 | - |
Information ratio | 0.04 | - |
Avg Drawdown | -1.04% | -26.7% |
Avg Drawdown Days | 13 | 360 |
Avg Up Month | 0.5000 | 2.8000 |
Avg Down Month | -0.08% | -4.66% |
R^2 | 0.36 | 0.36 |
Calmar | 0.78 | -0.75 |
Treynor | -27.29 | - |