Strangle-Adjusting-compounding

Finished
Portfolio-Opt
SPX 2020-07-01 → 2024-06-28· 4.0 y Short Strangle2 legs1 expirationMax positions 4
Finished 24-06-30 17:51Version MesoSim-2.11.39-0-g895393d
Cumulative Return help 110.19% SPX 75.43%
CAGR help 20.44% SPX 15.11%
Win/Loss rate 3.0746 wins / 15 losses
Trade Count 61Avg Days in Trade 90.77
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

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Statistics

Metric StrategySPX
Trades
Trade Count 611
Win/Loss rate 46 / 15 = 3.07-
Adjustments 1206-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 61-
Settlements 0-
Avg Days in Trade 90.771458
Performance
Cumulative Return 110.19%75.43%
CAGR 20.44%15.11%
Max Drawdown
from Peak		 -32.74%-25.39%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 0.890.92
Alpha 0.15-
Beta 0.46-
Kelly Criterion 9.29-13.13
Profit Factor 1.171.14
Probabilistic Sharpe 95.78%96.67%
Annual Volatility 24.37%16.77%
Omega 1.17-
Information ratio 0.01-
Avg Drawdown -2.43%-1.12%
Avg Drawdown Days 1612
Avg Up Month 5.44.23
Avg Down Month -4.8%-4.37%
R^2 0.10.1
Calmar 0.620.6
Treynor 242-

Next steps

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