WeekendEffect-compounding

Finished
Portfolio-Opt
SPX 2020-07-01 → 2024-06-28· 4.0 y Short Strangle2 legs1 expirationMax positions 1
Finished 24-06-30 17:51Version MesoSim-2.11.39-0-g895393d
Cumulative Return help 72.66% SPX 75.86%
CAGR help 14.65% SPX 15.18%
Win/Loss rate 5.06167 wins / 33 losses
Trade Count 200Avg Days in Trade 3.09
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 2001
Win/Loss rate 167 / 33 = 5.06-
Adjustments 0-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 199-
Settlements 2-
Avg Days in Trade 3.091458
Performance
Cumulative Return 72.66%75.86%
CAGR 14.65%15.18%
Max Drawdown
from Peak		 -12.56%-27.3%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 1.620.93
Alpha 0.14-
Beta 0.01-
Kelly Criterion 27.48-53.12
Profit Factor 2.141.12
Probabilistic Sharpe 96.77%96.78%
Annual Volatility 8.69%16.74%
Omega 2.14-
Information ratio 0-
Avg Drawdown -0.32%-1.27%
Avg Drawdown Days 513
Avg Up Month 1.833.75
Avg Down Month -2.16%-5.6%
R^2 00
Calmar 1.170.56
Treynor 12151.58-

Next steps

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