Enter-EMACross-2022

Finished
[Enter-EMACross]
SPX 2022-01-03 → 2022-12-30· 1.0 y ShortPut1 leg1 expirationMax positions 1
Finished 23-02-19 12:44Version MesoSim-2.4.0-0-g6ed4d42
Cumulative Return help 69.75% SPX -20.33%
CAGR help 70.75% SPX -20.53%
Win/Loss rate 88 wins / 1 loss
Trade Count 9Avg Days in Trade 30.78
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. Drawdown is the strategy's, from its peak on every NAV row; click SPX drawdown to compare. Click a legend entry to hide its series.

Risk Graph at first entry

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Statistics

Metric StrategySPX
Trades
Trade Count 91
Win/Loss rate 8 / 1 = 8-
Adjustments 0-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 9-
Settlements 0-
Avg Days in Trade 30.78361
Performance
Cumulative Return 69.75%-20.33%
CAGR 70.75%-20.53%
Max Drawdown
from Peak		 -33.01%-25.39%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 1.19-0.85
Alpha 1.01-
Beta 1.51-
Kelly Criterion 26.31-21.59
Profit Factor 1.40.87
Probabilistic Sharpe 88.94%19.9%
Annual Volatility 59.39%23.62%
Omega 1.4-
Information ratio 0.12-
Avg Drawdown -3.76%-25.39%
Avg Drawdown Days 7360
Avg Up Month 7.395.83
Avg Down Month -8.82%-6.5%
R^2 0.360.36
Calmar 2.14-0.81
Treynor 46.07-

Next steps

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