| 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 | - |