Baseline - SyntheticLong

Finished
QuantPedia - Composite Seasonal
SPX 2012-01-04 → 2023-12-29· 12.0 y Synthetic Long2 legs1 expirationMax positions 1
Finished 24-02-27 08:10Version MesoSim-2.10.51-0-g1ec42f1
Cumulative Return help 547.71% SPX 274.32%
CAGR help 16.86% SPX 11.64%
Win/Loss rate 1.66199 wins / 120 losses
Trade Count 319Avg Days in Trade 3.09
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 3191
Win/Loss rate 199 / 120 = 1.66-
Adjustments 0-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 257-
Settlements 124-
Avg Days in Trade 3.094377
Performance
Cumulative Return 547.71%274.32%
CAGR 16.86%11.64%
Max Drawdown
from Peak		 -22.96%-33.47%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 1.040.78
Alpha 0.1-
Beta 0.59-
Kelly Criterion 3.757.93
Profit Factor 1.241.11
Probabilistic Sharpe 99.98%99.62%
Annual Volatility 16.24%15.64%
Omega 1.24-
Information ratio 0.01-
Avg Drawdown -2.15%-1.33%
Avg Drawdown Days 2213
Avg Up Month 4.423.53
Avg Down Month -4.94%-3.97%
R^2 0.320.32
Calmar 0.730.35
Treynor 927.85-

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