| Strategy | Call Credit Spread / Call Credit Spread MidPrice StrikeSelector | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2024-01-02 to 2024-12-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.12.10-0-g9250044a | Structure | Call Credit Spread | Legs | 2 |
| Strategy | Call Credit Spread / Call Credit Spread MidPrice StrikeSelector |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2024-01-02 to 2024-12-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.12.10-0-g9250044a |
| Structure | Call Credit Spread |
| Legs | 2 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 11 | 1 |
| Win/Loss rate | 4 / 7 = 0.57 | - |
| Adjustments | 0 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 11 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 31.45 | 363 |
| Cumulative Return | -9.71% | 24.92% |
| CAGR | -9.76% | 25.07% |
| Max Drawdown from Peak |
-14.77% | -8.73% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | -0.89 | 1.85 |
| Alpha | 0.06 | - |
| Beta | -0.67 | - |
| Kelly Criterion | 34.75 | 13.1 |
| Profit Factor | 0.89 | 1.26 |
| Probabilistic Sharpe | 18.78% | 96.28% |
| Annual Volatility | 10.88% | 12.49% |
| Omega | 0.89 | - |
| Information ratio | -0.07 | - |
| Avg Drawdown | -14.77% | -1.01% |
| Avg Drawdown Days | 360 | 6 |
| Avg Up Month | 0.97 | 1.33 |
| Avg Down Month | N/A | N/A |
| R^2 | 0.59 | 0.59 |
| Calmar | -0.66 | 2.87 |
| Treynor | 14.48 | - |