VaporousGnu

Finished
[SPX-MarkLeg]
SPX 2022-01-03 → 2022-12-30· 1.0 y Short Put at initiation, then Long Put added2 legs1 expirationMax positions 1
Finished 23-10-25 07:56Version MesoSim-2.10.22-0-g58f48da
Cumulative Return help -3.55% SPX -20.33%
CAGR help -3.58% SPX -20.53%
Win/Loss rate 4.59 wins / 2 losses
Trade Count 11Avg Days in Trade 30.55
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. A series that closes at zero or below is shifted up by its lowest value first. Drawdown is measured on every NAV row. Click a legend entry to hide its series.

Risk Graph at first entry

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Statistics

Metric StrategySPX
Trades
Trade Count 111
Win/Loss rate 9 / 2 = 4.5-
Adjustments 7-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 11-
Settlements 0-
Avg Days in Trade 30.55361
Performance
Cumulative Return -3.55%-20.33%
CAGR -3.58%-20.53%
Max Drawdown
from Peak		 -100.32%-25.39%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe -0.73-0.85
Alpha -27.95-
Beta 3.96-
Kelly Criterion 25.88-11.41
Profit Factor 0.40.87
Probabilistic Sharpe 13.78%19.9%
Annual Volatility 3914.63%23.62%
Omega 0.4-
Information ratio -0.05-
Avg Drawdown -29.89%-25.39%
Avg Drawdown Days 48360
Avg Up Month 11.655.12
Avg Down Month -31.35%-4.64%
R^2 00
Calmar -0.04-0.81
Treynor -0.9-

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