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- Strategy Definition
| Name | [SuperBull] / SecureEagle |
| Period | 2016-01-04 - 2023-05-30 |
| Version | MesoSim-2.9.1-0-gb1769be |
| Symbol | SPX |
| Cash | |
| Structure | Bull Call Spread |
| Max number of positions in flight | 3 |
| Expirations | 1 |
| 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 | -32.73% | -34.83% |
| 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% |
| Smart Sharpe | 0.58 | 0.63 |
| 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 | 4.8200 | 3.7100 |
| Avg Down Month | -7.47% | -5.53% |
| R^2 | 0.66 | 0.66 |
| Calmar | 0.36 | 0.3 |
| Treynor | 121.42 | - |