Name | DiffEvo-NormalizedMap / WornSnipe |
Period | 2012-01-03 - 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 | 39.21 | 4378 |
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 | - |