NameDiffEvo-NormalizedMap / WornSnipe
Period2012-01-03 - 2023-12-29
Version MesoSim-2.10.60-0-g995c747
Symbol SPX
Cash $100000
Structure BWB
Max number of positions in flight 4
Expirations 1
Legs 3
Metric Strategy SPX
Trade Count 290 1
Win/Loss rate 227 / 63 = 3.6
Adjustments 0
PT Hits 0
SL Hits 46
Max DIT Reaches 0
Settlements 138
Avg Days in Trade 39.214378
Cumulative Return 266.99% 273.45%
CAGR 11.45% 11.61%
Max Drawdown -38.25% -34.83%
Sharpe 0.75 0.77
Alpha 0.04 -
Beta 0.66 -
Kelly Criterion 10.53 -4.98
Profit Factor 1.19 1.16
Probabilistic Sharpe 99.37% 99.59%
Smart Sharpe 0.74 0.77
Annual Volatility 16.37% 15.86%
Omega 1.19 -
Information ratio 0 -
Avg Drawdown -1.64% -1.66%
Avg Drawdown Days 18 19
Avg Up Month 3.6400 3.2100
Avg Down Month -5.82% -4.52%
R^2 0.4 0.4
Calmar 0.3 0.33
Treynor 406.92 -
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