| Name | SPX 0DTE PCS / SandySaola |
| Period | 2024-01-02 - 2024-12-31 |
| Version | MesoSim-2.13.4-0-g4ac54f3d |
| Symbol | SPX |
| Cash | $10000 |
| Structure | PCS |
| Max number of positions in flight | 1 |
| Expirations | 1 |
| Legs | 2 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 251 | 1 |
| Win/Loss rate | 215 / 36 = 5.97 | |
| Adjustments | 0 | |
| PT Hits | 0 | |
| SL Hits | 33 | |
| Max DIT Reaches | 0 | |
| Settlements | 436 | |
| Avg Days in Trade | 0.37 | 364 |
| Cumulative Return | -11.43% | 23.96% |
| CAGR | -11.46% | 24.03% |
| Max Drawdown | -28.16% | -9.38% |
| Sharpe | -0.35 | 1.79 |
| Alpha | -0.23 | - |
| Beta | 0.63 | - |
| Kelly Criterion | -1.51 | 1.78 |
| Profit Factor | 0.99 | 1.05 |
| Probabilistic Sharpe | 36.15% | 95.98% |
| Smart Sharpe | -0.34 | 1.75 |
| Annual Volatility | 25.38% | 12.47% |
| Omega | 0.99 | - |
| Information ratio | -0.01 | - |
| Avg Drawdown | -0.74% | -0.27% |
| Avg Drawdown Days | 5 | 1 |
| Avg Up Month | 3.6600 | 2.9500 |
| Avg Down Month | -9.59% | -4.36% |
| R^2 | 0.1 | 0.1 |
| Calmar | -0.41 | 2.56 |
| Treynor | -18.18 | - |