Bid-Ask spread width based entry / exit

Finished
[SPX-Strangle-Adjusting]
SPX 2024-01-02 → 2024-11-29· 0.9 y Short Strangle2 legs1 expirationMax positions 1
Finished 24-12-03 11:28Version MesoSim-2.12.6-0-g03671375
Cumulative Return help -93.06% SPX 27.76%
CAGR help -94.72% SPX 31.02%
Win/Loss rate 1.53 wins / 2 losses
Trade Count 5Avg Days in Trade 59
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 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 51
Win/Loss rate 3 / 2 = 1.5-
Adjustments 40-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 2-
Settlements 0-
Avg Days in Trade 59332
Performance
Cumulative Return -93.06%27.76%
CAGR -94.72%31.02%
Max Drawdown
from Peak		 -183.71%-8.54%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe -0.112.22
Alpha 12.01-
Beta -69.11-
Kelly Criterion -58.710.72
Profit Factor 0.921.47
Probabilistic Sharpe 45.92%98.08%
Annual Volatility 6343.76%12.42%
Omega 0.92-
Information ratio -0.01-
Avg Drawdown -62.35%-1.35%
Avg Drawdown Days 10810
Avg Up Month 19.532.77
Avg Down Month -36.34%-1.82%
R^2 0.020.02
Calmar -0.523.63
Treynor 1.35-

Next steps

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