| Name | Call Debit Spread / SnappingTang |
| Period | 2022-01-03 - 2022-12-30 |
| Version | MesoSim-2.12.10-0-g9250044a |
| Symbol | SPX |
| Cash | $100000 |
| Structure | Simple |
| Max number of positions in flight | 1 |
| Expirations | 1 |
| Legs | 2 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 19 | 1 |
| Win/Loss rate | 8 / 11 = 0.73 | |
| Adjustments | 0 | |
| PT Hits | 0 | |
| SL Hits | 8 | |
| Max DIT Reaches | 12 | |
| Settlements | 0 | |
| Avg Days in Trade | 17.84 | 361 |
| Cumulative Return | -15.56% | -20.33% |
| CAGR | -15.72% | -20.53% |
| Max Drawdown | -16.01% | -25.39% |
| Sharpe | -1.68 | -0.85 |
| Alpha | -0.09 | - |
| Beta | 0.39 | - |
| Kelly Criterion | -13.74 | -9.3 |
| Profit Factor | 0.75 | 0.87 |
| Probabilistic Sharpe | 4.71% | 19.95% |
| Smart Sharpe | -1.54 | -0.78 |
| Annual Volatility | 9.88% | 23.72% |
| Omega | 0.75 | - |
| Information ratio | 0.01 | - |
| Avg Drawdown | -16.01% | -25.39% |
| Avg Drawdown Days | 360 | 360 |
| Avg Up Month | 2.0300 | 5.8300 |
| Avg Down Month | -3.06% | -5.48% |
| R^2 | 0.86 | 0.86 |
| Calmar | -0.98 | -0.81 |
| Treynor | -40.36 | - |