| Name | [SPX-Strangle-Adjusting] / Bid-Ask spread width based entry / exit |
| Period | 2024-01-02 - 2024-11-29 |
| Version | MesoSim-2.12.6-0-g03671375 |
| Symbol | SPX |
| Cash | $10000 |
| Structure | Short Strangle |
| Max number of positions in flight | 1 |
| Expirations | 1 |
| Legs | 2 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 5 | 1 |
| 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 | 59 | 332 |
| Cumulative Return | -93.06% | 27.76% |
| CAGR | -94.72% | 31.02% |
| Max Drawdown | -183.71% | -8.54% |
| Sharpe | -0.11 | 2.22 |
| Alpha | 12.01 | - |
| Beta | -69.11 | - |
| Kelly Criterion | -58.71 | 0.72 |
| Profit Factor | 0.92 | 1.47 |
| Probabilistic Sharpe | 45.92% | 98.08% |
| Smart Sharpe | -0.11 | 2.15 |
| Annual Volatility | 6343.76% | 12.42% |
| Omega | 0.92 | - |
| Information ratio | -0.01 | - |
| Avg Drawdown | -62.35% | -1.35% |
| Avg Drawdown Days | 108 | 10 |
| Avg Up Month | 19.5300 | 2.7700 |
| Avg Down Month | -36.34% | -1.82% |
| R^2 | 0.02 | 0.02 |
| Calmar | -0.52 | 3.63 |
| Treynor | 1.35 | - |