| Name | Weekday-ShortPut / Weekday Short Put 16-22 Mon-Fri |
| Period | 2016-08-01 - 2022-12-30 |
| Version | MesoSim-2.10.3-0-g732a118 |
| Symbol | SPX |
| Cash | $10000 |
| Structure | ShortPut |
| Max number of positions in flight | 1 |
| Expirations | 1 |
| Legs | 1 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 292 | 1 |
| Win/Loss rate | 274 / 18 = 15.22 | |
| Adjustments | 0 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 284 | |
| Settlements | 8 | |
| Avg Days in Trade | 4.73 | 2342 |
| Cumulative Return | 368.05% | 76.3% |
| CAGR | 27.19% | 9.24% |
| Max Drawdown | -122.08% | -34.44% |
| Sharpe | 0.41 | 0.53 |
| Alpha | 1.36 | - |
| Beta | 4.26 | - |
| Kelly Criterion | 33.75 | -14.53 |
| Profit Factor | 1.82 | 1.11 |
| Probabilistic Sharpe | 97.96% | 92.63% |
| Smart Sharpe | 0.38 | 0.5 |
| Annual Volatility | 426.48% | 16.67% |
| Omega | 1.82 | - |
| Information ratio | 0.02 | - |
| Avg Drawdown | -1.48% | -1.71% |
| Avg Drawdown Days | 11 | 17 |
| Avg Up Month | 11.5400 | 3.9800 |
| Avg Down Month | -45.83% | -6.87% |
| R^2 | 0.03 | 0.03 |
| Calmar | 0.22 | 0.27 |
| Treynor | 86.33 | - |