| Strategy | Rhino-SPX | Symbol | SPX | Max positions | 9 |
|---|---|---|---|---|---|
| Period | 2018-10-02 to 2025-11-11 | Cash | $225000 | Expirations | 2 |
| Version | MesoSim-3.0.10-0-g72f035f3 | Structure | Rhino: OTM BWB + Calendars | Legs | 5 |
| Strategy | Rhino-SPX |
|---|---|
| Symbol | SPX |
| Max positions | 9 |
| Period | 2018-10-02 to 2025-11-11 |
| Cash | $225000 |
| Expirations | 2 |
| Version | MesoSim-3.0.10-0-g72f035f3 |
| Structure | Rhino: OTM BWB + Calendars |
| Legs | 5 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 200 | 1 |
| 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 | 38.4 | 2597 |
| 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/A | N/A |
| Sharpe | 1.12 | 0.73 |
| Alpha | 0.03 | - |
| Beta | 0.04 | - |
| Kelly Criterion | 9.33 | -1.99 |
| Profit Factor | 1.27 | 1.15 |
| 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 | 14 | 20 |
| Avg Up Month | 0.6 | 3.92 |
| Avg Down Month | -0.47% | -6.2% |
| R^2 | 0.06 | 0.06 |
| Calmar | 1.12 | 0.37 |
| Treynor | 674.91 | - |