| Strategy | DiffEvo-NormalizedMap / WornSnipe | Symbol | SPX | Max positions | 4 |
|---|---|---|---|---|---|
| Period | 2012-01-03 to 2023-12-29 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.10.60-0-g995c747 | Structure | BWB | Legs | 3 |
| Strategy | DiffEvo-NormalizedMap / WornSnipe |
|---|---|
| Symbol | SPX |
| Max positions | 4 |
| Period | 2012-01-03 to 2023-12-29 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.10.60-0-g995c747 |
| Structure | BWB |
| 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 | 39.21 | 4378 |
| Cumulative Return | 266.99% | 273.45% |
| CAGR | 11.45% | 11.61% |
| Max Drawdown from Peak |
-38.25% | -34.83% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| 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% |
| 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 | 3.64 | 3.21 |
| Avg Down Month | -5.82% | -4.52% |
| R^2 | 0.4 | 0.4 |
| Calmar | 0.3 | 0.33 |
| Treynor | 406.92 | - |