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| Name | [SPX-NextDay-IC-1pct-10w] / RoyalGuerza |
| Period | 2024-01-02 - 2025-12-02 |
| Version | MesoSim-3.0.19-0-g4fb96d64 |
| Symbol | SPX |
| Cash | $100000 |
| Structure | NextDay IC (±1%, 10-wide) |
| Max number of positions in flight | 1 |
| Expirations | 1 |
| Legs | 4 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 195 | 1 |
| Win/Loss rate | 157 / 38 = 4.13 | |
| Adjustments | 0 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 0 | |
| Settlements | 780 | |
| Avg Days in Trade | 0.6 | 700 |
| Cumulative Return | -4.87% | 44.16% |
| CAGR | -2.57% | 21.01% |
| Max Drawdown | -7.78% | -18.96% |
| Sharpe | -0.77 | 1.26 |
| Alpha | -0.03 | - |
| Beta | 0.01 | - |
| Kelly Criterion | -45.47 | -25.72 |
| Profit Factor | 0.82 | 1.28 |
| Probabilistic Sharpe | 12.96% | 96.23% |
| Smart Sharpe | -0.73 | 1.2 |
| Annual Volatility | 3.3% | 16.2% |
| Omega | 0.82 | - |
| Information ratio | -0.09 | - |
| Avg Drawdown | -3.89% | -1.61% |
| Avg Drawdown Days | 344 | 12 |
| Avg Up Month | 0.6800 | 3.4600 |
| Avg Down Month | -1.28% | -2.15% |
| R^2 | 0 | 0 |
| Calmar | -0.33 | 1.11 |
| Treynor | -740.55 | - |