| Name | Put Debit Spread / Put Debit Spread Complex StrikeSelector |
| Period | 2024-01-02 - 2024-12-30 |
| Version | MesoSim-2.12.10-0-g9250044a |
| Symbol | SPX |
| Cash | $100000 |
| Structure | Put Debit Spread |
| Max number of positions in flight | 1 |
| Expirations | 1 |
| Legs | 2 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 11 | 1 |
| 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 | 31.45 | 363 |
| Cumulative Return | -38.69% | 24.92% |
| CAGR | -38.86% | 25.07% |
| Max Drawdown | -51.34% | -8.73% |
| Sharpe | -1.17 | 1.85 |
| Alpha | 0.15 | - |
| Beta | -2.5 | - |
| Kelly Criterion | -13.66 | 41.3 |
| Profit Factor | 0.85 | 1.26 |
| Probabilistic Sharpe | 12.72% | 96.28% |
| Smart Sharpe | -1.16 | 1.84 |
| Annual Volatility | 36.42% | 12.49% |
| Omega | 0.85 | - |
| Information ratio | -0.06 | - |
| Avg Drawdown | -51.34% | -1.01% |
| Avg Drawdown Days | 360 | 6 |
| Avg Up Month | 2.5900 | 0.9900 |
| Avg Down Month | ||
| R^2 | 0.74 | 0.74 |
| Calmar | -0.76 | 2.87 |
| Treynor | 15.45 | - |