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| Name | Chital / 2020-2025 |
| Period | 2020-01-02 - 2025-11-28 |
| Version | MesoSim-3.0.17-0-g6d8e9b6d |
| Symbol | SPX |
| Cash | $10000 |
| Structure | Double Diagonal |
| Max number of positions in flight | 1 |
| Expirations | 2 |
| Legs | 4 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 276 | 1 |
| Win/Loss rate | 184 / 92 = 2 | |
| Adjustments | 0 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 242 | |
| Settlements | 0 | |
| Avg Days in Trade | 2.89 | 2157 |
| Cumulative Return | 141.51% | 109.68% |
| CAGR | 16.1% | 13.35% |
| Max Drawdown | -7.81% | -34.83% |
| Sharpe | 1.37 | 0.74 |
| Alpha | 0.18 | - |
| Beta | -0.14 | - |
| Kelly Criterion | 13.13 | 0.28 |
| Profit Factor | 1.61 | 1.15 |
| Probabilistic Sharpe | 99.99% | 96.23% |
| Smart Sharpe | 1.31 | 0.71 |
| Annual Volatility | 11.4% | 19.69% |
| Omega | 1.61 | - |
| Information ratio | 0 | - |
| Avg Drawdown | -1.12% | -2.16% |
| Avg Drawdown Days | 25 | 20 |
| Avg Up Month | 2.0200 | 3.8700 |
| Avg Down Month | -1.68% | -3.96% |
| R^2 | 0.06 | 0.06 |
| Calmar | 2.06 | 0.38 |
| Treynor | -1034.64 | - |