Put Debit Spread Complex StrikeSelector

Finished
Put Debit Spread
SPX 2024-01-02 → 2024-12-30· 1.0 y Put Debit Spread2 legs1 expirationMax positions 1
Finished 25-01-24 11:00Version MesoSim-2.12.10-0-g9250044a
Cumulative Return help -38.69% SPX 24.92%
CAGR help -38.86% SPX 25.07%
Win/Loss rate 0.222 wins / 9 losses
Trade Count 11Avg Days in Trade 31.45
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 111
Win/Loss rate 2 / 9 = 0.22-
Adjustments 0-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 11-
Settlements 0-
Avg Days in Trade 31.45363
Performance
Cumulative Return -38.69%24.92%
CAGR -38.86%25.07%
Max Drawdown
from Peak		 -51.34%-8.73%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe -1.171.85
Alpha 0.15-
Beta -2.5-
Kelly Criterion -13.6641.3
Profit Factor 0.851.26
Probabilistic Sharpe 12.72%96.28%
Annual Volatility 36.42%12.49%
Omega 0.85-
Information ratio -0.06-
Avg Drawdown -51.34%-1.01%
Avg Drawdown Days 3606
Avg Up Month 2.590.99
Avg Down Month N/AN/A
R^2 0.740.74
Calmar -0.762.87
Treynor 15.45-

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