SnappingTang

Finished
Call Debit Spread
SPX 2022-01-03 → 2022-12-30· 1.0 y Simple2 legs1 expirationMax positions 1
Finished 25-01-23 12:24Version MesoSim-2.12.10-0-g9250044a
Cumulative Return help -15.56% SPX -20.33%
CAGR help -15.72% SPX -20.53%
Win/Loss rate 0.738 wins / 11 losses
Trade Count 19Avg Days in Trade 17.84
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. Drawdown is measured on every NAV row. Click a legend entry to hide its series.

Risk Graph at first entry

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Statistics

Metric StrategySPX
Trades
Trade Count 191
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 17.84361
Performance
Cumulative Return -15.56%-20.33%
CAGR -15.72%-20.53%
Max Drawdown
from Peak		 -16.01%-25.39%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe -1.68-0.85
Alpha -0.09-
Beta 0.39-
Kelly Criterion -13.74-9.3
Profit Factor 0.750.87
Probabilistic Sharpe 4.71%19.95%
Annual Volatility 9.88%23.72%
Omega 0.75-
Information ratio 0.01-
Avg Drawdown -16.01%-25.39%
Avg Drawdown Days 360360
Avg Up Month 2.035.83
Avg Down Month -3.06%-5.48%
R^2 0.860.86
Calmar -0.98-0.81
Treynor -40.36-

Next steps

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