| Strategy | Portfolio-Opt / SuperBull-Relaxed-compounding | Symbol | SPX | Max positions | 10 |
|---|---|---|---|---|---|
| Period | 2020-07-01 to 2024-06-28 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.11.39-0-g895393d | Structure | Bull Call Spread | Legs | 2 |
| Strategy | Portfolio-Opt / SuperBull-Relaxed-compounding |
|---|---|
| Symbol | SPX |
| Max positions | 10 |
| Period | 2020-07-01 to 2024-06-28 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.11.39-0-g895393d |
| Structure | Bull Call Spread |
| Legs | 2 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 97 | 1 |
| 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 | 33.99 | 1458 |
| 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/A | N/A |
| Sharpe | 0.84 | 0.92 |
| Alpha | 0.03 | - |
| Beta | 2.26 | - |
| Kelly Criterion | 6.4 | 7.46 |
| Profit Factor | 1.15 | 1.14 |
| 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 | 14 | 12 |
| Avg Up Month | 12.59 | 4.24 |
| Avg Down Month | -14.01% | -4.05% |
| R^2 | 0.68 | 0.68 |
| Calmar | 0.55 | 0.6 |
| Treynor | 91.07 | - |