| Name | 1-1-1 / 1-1-1 |
| Period | 2024-01-02 - 2025-06-30 |
| Version | MesoSim-2.13.4-0-g4ac54f3d |
| Symbol | SPX |
| Cash | $50000 |
| Structure | 1-1-1 |
| Max number of positions in flight | 10 |
| Expirations | 1 |
| Legs | 3 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 77 | 1 |
| Win/Loss rate | 44 / 33 = 1.33 | |
| Adjustments | 0 | |
| PT Hits | 44 | |
| SL Hits | 33 | |
| Max DIT Reaches | 0 | |
| Settlements | 0 | |
| Avg Days in Trade | 1.52 | 545 |
| Cumulative Return | -1.11% | 31.22% |
| CAGR | -0.74% | 19.96% |
| Max Drawdown | -12.83% | -18.63% |
| Sharpe | -0.01 | 1.15 |
| Alpha | -0.05 | - |
| Beta | 0.25 | - |
| Kelly Criterion | -13.3 | 11.92 |
| Profit Factor | 0.99 | 1.25 |
| Probabilistic Sharpe | 49.36% | 92.18% |
| Smart Sharpe | -0.01 | 1.15 |
| Annual Volatility | 11% | 17.2% |
| Omega | 0.99 | - |
| Information ratio | -0.08 | - |
| Avg Drawdown | -2.22% | -1.9% |
| Avg Drawdown Days | 62 | 14 |
| Avg Up Month | 1.4000 | 3.5900 |
| Avg Down Month | -2.21% | -2.61% |
| R^2 | 0.15 | 0.15 |
| Calmar | -0.06 | 1.07 |
| Treynor | -4.42 | - |