Name | [SuperBull-Relaxed] / SadNilgai |
Period | 2013-01-02 - 2022-12-30 |
Version | MesoSim-2.9.5-0-g17bea13 |
Symbol | SPX |
Cash | $10000 |
Structure | Bull Call Spread |
Max number of positions in flight | 10 |
Expirations | 1 |
Legs | 2 |
Metric | Strategy | SPX |
---|---|---|
Trade Count | 243 | 1 |
Win/Loss rate | 193 / 50 = 3.86 | |
Adjustments | 0 | |
PT Hits | 188 | |
SL Hits | 0 | |
Max DIT Reaches | 49 | |
Settlements | 14 | |
Avg Days in Trade | 35.72 | 3649 |
Cumulative Return | 488.63% | 162.42% |
CAGR | 19.4% | 10.13% |
Max Drawdown | -30.55% | -34.83% |
Sharpe | 1.06 | 0.67 |
Alpha | 0.12 | - |
Beta | 0.71 | - |
Kelly Criterion | 10.13 | 5.8 |
Profit Factor | 1.26 | 1.14 |
Probabilistic Sharpe | 99.95% | 98.2% |
Smart Sharpe | 1.01 | 0.64 |
Annual Volatility | 18.35% | 16.4% |
Omega | 1.26 | - |
Information ratio | 0.04 | - |
Avg Drawdown | -1.99% | -1.66% |
Avg Drawdown Days | 17 | 17 |
Avg Up Month | 4.9100 | 3.4400 |
Avg Down Month | -5.15% | -4.52% |
R^2 | 0.4 | 0.4 |
Calmar | 0.63 | 0.29 |
Treynor | 688.31 | - |