Bear Market

Finished
[SPX-Short-Put]
SPX 2022-01-03 → 2022-12-30· 1.0 y Short Put1 leg1 expirationMax positions 1
Finished 23-09-13 05:01Version MesoSim-2.10.1-0-g458485c
Cumulative Return help 79.47% SPX -20.33%
CAGR help 80.64% 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 0-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 11-
Settlements 0-
Avg Days in Trade 30.55361
Performance
Cumulative Return 79.47%-20.33%
CAGR 80.64%-20.53%
Max Drawdown
from Peak		 -100.32%-25.39%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe -0.75-0.85
Alpha -28.7-
Beta 3.84-
Kelly Criterion 36.22-17.51
Profit Factor 0.360.87
Probabilistic Sharpe 12.82%19.9%
Annual Volatility 3910.52%23.62%
Omega 0.36-
Information ratio -0.05-
Avg Drawdown -13.27%-25.39%
Avg Drawdown Days 18360
Avg Up Month 25.325.83
Avg Down Month -19.04%-4.64%
R^2 00
Calmar 0.8-0.81
Treynor 20.68-

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