SPX-Calendar-2022

Finished
[SPX-Calendar]
SPX 2022-01-03 → 2022-12-30· 1.0 y Calendar2 legs2 expirationsMax positions 1
Finished 23-03-01 12:44Version MesoSim-2.5.0-0-gaa0ecb4
Cumulative Return help 2.8% SPX -20.33%
CAGR help 2.83% SPX -20.53%
Win/Loss rate 0.674 wins / 6 losses
Trade Count 10Avg Days in Trade 34.8
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 101
Win/Loss rate 4 / 6 = 0.67-
Adjustments 0-
PT Hits 4-
SL Hits 0-
Max DIT Reaches 0-
Settlements 0-
Avg Days in Trade 34.8361
Performance
Cumulative Return 2.8%-20.33%
CAGR 2.83%-20.53%
Max Drawdown
from Peak		 -12.9%-25.39%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 0.25-0.85
Alpha 0.15-
Beta 0.52-
Kelly Criterion 1.73-11.65
Profit Factor 1.050.87
Probabilistic Sharpe 59.79%19.88%
Annual Volatility 16.78%23.66%
Omega 1.05-
Information ratio 0.1-
Avg Drawdown -2.24%-25.39%
Avg Drawdown Days 26360
Avg Up Month 5.025.83
Avg Down Month -2.8%-6.56%
R^2 0.540.54
Calmar 0.22-0.81
Treynor 5.37-

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