| Strategy | DiffEvo-DeltaMap / WornSnipe | Symbol | SPX | Max positions | 4 |
|---|---|---|---|---|---|
| Period | 2012-01-03 to 2023-12-29 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.11.3-0-g401d57d | Structure | BWB | Legs | 3 |
| Strategy | DiffEvo-DeltaMap / WornSnipe |
|---|---|
| Symbol | SPX |
| Max positions | 4 |
| Period | 2012-01-03 to 2023-12-29 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.11.3-0-g401d57d |
| Structure | BWB |
| Legs | 3 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 317 | 1 |
| Win/Loss rate | 257 / 60 = 4.28 | - |
| Adjustments | 0 | - |
| PT Hits | 0 | - |
| SL Hits | 45 | - |
| Max DIT Reaches | 0 | - |
| Settlements | 366 | - |
| Avg Days in Trade | 34.68 | 4378 |
| Cumulative Return | 541.14% | 273.45% |
| CAGR | 16.76% | 11.61% |
| Max Drawdown from Peak |
-25.06% | -34.83% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 1.05 | 0.77 |
| Alpha | 0.07 | - |
| Beta | 0.79 | - |
| Kelly Criterion | 16.63 | -1.82 |
| Profit Factor | 1.27 | 1.16 |
| Probabilistic Sharpe | 99.97% | 99.59% |
| Annual Volatility | 16.03% | 15.86% |
| Omega | 1.27 | - |
| Information ratio | 0.03 | - |
| Avg Drawdown | -1.25% | -1.65% |
| Avg Drawdown Days | 11 | 19 |
| Avg Up Month | 3.41 | 3.44 |
| Avg Down Month | -4.89% | -5.12% |
| R^2 | 0.61 | 0.61 |
| Calmar | 0.67 | 0.33 |
| Treynor | 686.31 | - |