| Name | [SPX-Short-Put] / Delta selection based on external data |
| Period | 2024-01-02 - 2024-11-29 |
| Version | MesoSim-2.12.6-0-g03671375 |
| Symbol | SPX |
| Cash | $10000 |
| Structure | Short Put |
| Max number of positions in flight | 1 |
| Expirations | 1 |
| Legs | 1 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 10 | 1 |
| Win/Loss rate | 9 / 1 = 9 | |
| Adjustments | 0 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 10 | |
| Settlements | 0 | |
| Avg Days in Trade | 30.5 | 332 |
| Cumulative Return | 287.74% | 27.76% |
| CAGR | 345.66% | 31.02% |
| Max Drawdown | -80.56% | -8.54% |
| Sharpe | 1.53 | 2.22 |
| Alpha | 0.57 | - |
| Beta | 9.81 | - |
| Kelly Criterion | 29.33 | 9.78 |
| Profit Factor | 1.82 | 1.47 |
| Probabilistic Sharpe | 97.76% | 98.08% |
| Smart Sharpe | 1.01 | 1.47 |
| Annual Volatility | 213.38% | 12.42% |
| Omega | 1.82 | - |
| Information ratio | 0.09 | - |
| Avg Drawdown | -7.59% | -1.35% |
| Avg Drawdown Days | 8 | 10 |
| Avg Up Month | 23.6900 | 3.3500 |
| Avg Down Month | -9.79% | -1.82% |
| R^2 | 0.33 | 0.33 |
| Calmar | 4.29 | 3.63 |
| Treynor | 29.33 | - |