| Strategy | Call Debit Spread / SnappingTang | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2024-01-02 to 2024-12-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.12.10-0-g9250044a | Structure | Simple | Legs | 2 |
| Strategy | Call Debit Spread / SnappingTang |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2024-01-02 to 2024-12-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.12.10-0-g9250044a |
| Structure | Simple |
| Legs | 2 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 17 | 1 |
| Win/Loss rate | 13 / 4 = 3.25 | - |
| Adjustments | 0 | - |
| PT Hits | 0 | - |
| SL Hits | 2 | - |
| Max DIT Reaches | 16 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 19.71 | 363 |
| Cumulative Return | 15.92% | 25.25% |
| CAGR | 16.02% | 25.4% |
| Max Drawdown from Peak |
-4.33% | -8.54% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 2.11 | 1.89 |
| Alpha | 0.03 | - |
| Beta | 0.53 | - |
| Kelly Criterion | 15.99 | 14.49 |
| Profit Factor | 1.46 | 1.39 |
| Probabilistic Sharpe | 98.02% | 96.77% |
| Annual Volatility | 7.16% | 12.36% |
| Omega | 1.46 | - |
| Information ratio | -0.08 | - |
| Avg Drawdown | -0.72% | -1.31% |
| Avg Drawdown Days | 8 | 9 |
| Avg Up Month | 2.19 | 3.22 |
| Avg Down Month | -2.68% | -2.61% |
| R^2 | 0.83 | 0.83 |
| Calmar | 3.7 | 2.98 |
| Treynor | 30.21 | - |