| Name | [SPX-Short-Put] / Hit SL or PT multiple times before closing a position |
| Period | 2024-01-02 - 2024-11-29 |
| Version | MesoSim-2.12.6-0-g03671375 |
| Symbol | SPX |
| Cash | $10000 |
| Structure | Short Put |
| Max number of positions in flight | 5 |
| Expirations | 1 |
| Legs | 1 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 41 | 1 |
| Win/Loss rate | 40 / 1 = 40 | |
| Adjustments | 457 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 2 | |
| Settlements | 0 | |
| Avg Days in Trade | 16.07 | 332 |
| Cumulative Return | 385.09% | 27.34% |
| CAGR | 467.53% | 30.43% |
| Max Drawdown | -352.14% | -9.38% |
| Sharpe | -1.01 | 2.17 |
| Alpha | -34.15 | - |
| Beta | 26.31 | - |
| Kelly Criterion | -17.01 | 1.13 |
| Profit Factor | 0.77 | 1.06 |
| Probabilistic Sharpe | 10.66% | 97.79% |
| Smart Sharpe | -0.99 | 2.11 |
| Annual Volatility | 2659.73% | 12.62% |
| Omega | 0.77 | - |
| Information ratio | -0.01 | - |
| Avg Drawdown | -2.04% | -0.27% |
| Avg Drawdown Days | 1 | 1 |
| Avg Up Month | 17.7200 | 2.9200 |
| Avg Down Month | ||
| R^2 | 0.02 | 0.02 |
| Calmar | 1.33 | 3.24 |
| Treynor | 14.63 | - |