Rhino-SPX

Finished
SPX 2018-10-02 → 2025-11-11· 7.1 y $225000 Rhino: OTM BWB + Calendars5 legs2 expirationsMax positions 9
Finished 25-11-19 06:12Version MesoSim-3.0.10-0-g72f035f3
Cumulative Return help 24.67% SPX 134.44%
CAGR help 3.15% SPX 12.72%
Win/Loss rate 4.71165 wins / 35 losses
Trade Count 200Avg Days in Trade 38.4
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 165 / 35 = 4.71-
Adjustments 884-
PT Hits 159-
SL Hits 9-
Max DIT Reaches 0-
Settlements 0-
Avg Days in Trade 38.42597
Performance
Cumulative Return 24.67%134.44%
CAGR 3.15%12.72%
Max Drawdown
from Peak		 -2.81%-34.83%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 1.120.73
Alpha 0.03-
Beta 0.04-
Kelly Criterion 9.33-1.99
Profit Factor 1.271.15
Probabilistic Sharpe 99.85%97.31%
Annual Volatility 2.83%18.96%
Omega 1.27-
Information ratio -0.04-
Avg Drawdown -0.31%-2.16%
Avg Drawdown Days 1420
Avg Up Month 0.63.92
Avg Down Month -0.47%-6.2%
R^2 0.060.06
Calmar 1.120.37
Treynor 674.91-

Next steps

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