SnappingTang

Finished
Call Debit Spread
SPX 2024-01-02 → 2024-12-30· 1.0 y Simple2 legs1 expirationMax positions 1
Finished 25-01-21 11:51Version MesoSim-2.12.10-0-g9250044a
Cumulative Return help 15.92% SPX 25.25%
CAGR help 16.02% SPX 25.4%
Win/Loss rate 3.2513 wins / 4 losses
Trade Count 17Avg Days in Trade 19.71
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. Drawdown is the strategy's, from its peak on every NAV row; click SPX drawdown to compare. Click a legend entry to hide its series.

Risk Graph at first entry

Please sign in to see the Risk Graph at first entry.

Statistics

Metric StrategySPX
Trades
Trade Count 171
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 19.71363
Performance
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/AN/A
Sharpe 2.111.89
Alpha 0.03-
Beta 0.53-
Kelly Criterion 15.9914.49
Profit Factor 1.461.39
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 89
Avg Up Month 2.193.22
Avg Down Month -2.68%-2.61%
R^2 0.830.83
Calmar 3.72.98
Treynor 30.21-

Next steps

  • Make it yours Clone opens this definition in the Job Editor, to change and run it.

Sign in to open the Position Monitor, StatSim and the AI Assistant for this backtest.