| Strategy | GeneticRhino-SPX-25Q4 / rhino_473f5800195a6ed8 | Symbol | SPX | Max positions | 12 |
|---|---|---|---|---|---|
| Period | 2022-01-03 to 2025-10-31 | Cash | $250000 | Expirations | 2 |
| Version | MesoSim-3.0.10-0-g72f035f3 | Structure | Rhino-like | Legs | 5 |
| Strategy | GeneticRhino-SPX-25Q4 / rhino_473f5800195a6ed8 |
|---|---|
| Symbol | SPX |
| Max positions | 12 |
| Period | 2022-01-03 to 2025-10-31 |
| Cash | $250000 |
| Expirations | 2 |
| Version | MesoSim-3.0.10-0-g72f035f3 |
| Structure | Rhino-like |
| Legs | 5 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 193 | 1 |
| Win/Loss rate | 149 / 44 = 3.39 | - |
| Adjustments | 139 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 63 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 38.62 | 1397 |
| Cumulative Return | 55.49% | 43.95% |
| CAGR | 12.22% | 9.99% |
| Max Drawdown from Peak |
-4.17% | -26.7% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 2.17 | 0.63 |
| Alpha | 0.12 | - |
| Beta | -0.01 | - |
| Kelly Criterion | 10.74 | 2.94 |
| Profit Factor | 1.31 | 1.07 |
| Probabilistic Sharpe | 100% | 89.14% |
| Annual Volatility | 5.37% | 17.5% |
| Omega | 1.31 | - |
| Information ratio | 0 | - |
| Avg Drawdown | -0.46% | -1.38% |
| Avg Drawdown Days | 8 | 15 |
| Avg Up Month | 1.13 | 3.51 |
| Avg Down Month | N/A | N/A |
| R^2 | 0 | 0 |
| Calmar | 2.93 | 0.37 |
| Treynor | -6351.85 | - |