SuperBull-Relaxed-compounding

Finished
Portfolio-Opt
SPX 2020-07-01 → 2024-06-28· 4.0 y Bull Call Spread2 legs1 expirationMax positions 10
Finished 24-06-30 17:53Version MesoSim-2.11.39-0-g895393d
Cumulative Return help 206.18% SPX 75.43%
CAGR help 32.33% SPX 15.11%
Win/Loss rate 3.6276 wins / 21 losses
Trade Count 97Avg Days in Trade 33.99
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 971
Win/Loss rate 76 / 21 = 3.62-
Adjustments 0-
PT Hits 75-
SL Hits 0-
Max DIT Reaches 18-
Settlements 10-
Avg Days in Trade 33.991458
Performance
Cumulative Return 206.18%75.43%
CAGR 32.33%15.11%
Max Drawdown
from Peak		 -59.2%-25.39%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 0.840.92
Alpha 0.03-
Beta 2.26-
Kelly Criterion 6.47.46
Profit Factor 1.151.14
Probabilistic Sharpe 95.46%96.68%
Annual Volatility 45.94%16.76%
Omega 1.15-
Information ratio 0.03-
Avg Drawdown -2.65%-1.12%
Avg Drawdown Days 1412
Avg Up Month 12.594.24
Avg Down Month -14.01%-4.05%
R^2 0.680.68
Calmar 0.550.6
Treynor 91.07-

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