| Strategy | [SuperBull] / SecureEagle | Symbol | SPX | Max positions | 3 |
|---|---|---|---|---|---|
| Period | 2016-01-04 to 2023-05-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.9.1-0-gb1769be | Structure | Bull Call Spread | Legs | 2 |
| Strategy | [SuperBull] / SecureEagle |
|---|---|
| Symbol | SPX |
| Max positions | 3 |
| Period | 2016-01-04 to 2023-05-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.9.1-0-gb1769be |
| Structure | Bull Call Spread |
| Legs | 2 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 88 | 1 |
| Win/Loss rate | 73 / 15 = 4.87 | - |
| Adjustments | 0 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 0 | - |
| Settlements | 30 | - |
| Avg Days in Trade | 29.19 | 2703 |
| Cumulative Return | 126.06% | 110.87% |
| CAGR | 11.64% | 10.6% |
| Max Drawdown from Peak |
-32.73% | -34.83% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 0.6 | 0.66 |
| Alpha | 0.01 | - |
| Beta | 1.04 | - |
| Kelly Criterion | 4.44 | 7.55 |
| Profit Factor | 1.13 | 1.13 |
| Probabilistic Sharpe | 94.91% | 96.17% |
| Annual Volatility | 22.67% | 17.75% |
| Omega | 1.13 | - |
| Information ratio | 0.01 | - |
| Avg Drawdown | -1.95% | -1.8% |
| Avg Drawdown Days | 16 | 19 |
| Avg Up Month | 4.82 | 3.71 |
| Avg Down Month | -7.47% | -5.53% |
| R^2 | 0.66 | 0.66 |
| Calmar | 0.36 | 0.3 |
| Treynor | 121.42 | - |