Call Credit Spread MidPrice StrikeSelector

Finished
Call Credit Spread
SPX 2024-01-02 → 2024-12-30· 1.0 y Call Credit Spread2 legs1 expirationMax positions 1
Finished 25-01-23 08:07Version MesoSim-2.12.10-0-g9250044a
Cumulative Return help -9.71% SPX 24.92%
CAGR help -9.76% SPX 25.07%
Win/Loss rate 0.574 wins / 7 losses
Trade Count 11Avg Days in Trade 31.45
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 111
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 31.45363
Performance
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/AN/A
Sharpe -0.891.85
Alpha 0.06-
Beta -0.67-
Kelly Criterion 34.7513.1
Profit Factor 0.891.26
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 3606
Avg Up Month 0.971.33
Avg Down Month N/AN/A
R^2 0.590.59
Calmar -0.662.87
Treynor 14.48-

Next steps

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