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| Name | [SPX-Calendar] / SPX-Calendar-2021 |
| Period | 2021-01-04 - 2021-12-30 |
| Version | MesoSim-2.5.0-0-gaa0ecb4 |
| Symbol | SPX |
| Cash | |
| Structure | Calendar |
| Max number of positions in flight | 1 |
| Expirations | 2 |
| Legs | 2 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 7 | 1 |
| Win/Loss rate | 6 / 1 = 6 | |
| Adjustments | 0 | |
| PT Hits | 6 | |
| SL Hits | 0 | |
| Max DIT Reaches | 0 | |
| Settlements | 0 | |
| Avg Days in Trade | 46 | 360 |
| Cumulative Return | 31.15% | 29.93% |
| CAGR | 31.64% | 30.41% |
| Max Drawdown | -6.83% | -5.43% |
| Sharpe | 2.2 | 2.08 |
| Alpha | 0.38 | - |
| Beta | -0.35 | - |
| Kelly Criterion | 10.84 | 5.85 |
| Profit Factor | 1.55 | 1.43 |
| Probabilistic Sharpe | 99.21% | 97.69% |
| Smart Sharpe | 1.85 | 1.75 |
| Annual Volatility | 12.85% | 13.16% |
| Omega | 1.55 | - |
| Information ratio | 0 | - |
| Avg Drawdown | -0.91% | -1.24% |
| Avg Drawdown Days | 8 | 8 |
| Avg Up Month | 3.7700 | 2.7200 |
| Avg Down Month | ||
| R^2 | 0.13 | 0.13 |
| Calmar | 4.63 | 5.6 |
| Treynor | -90.03 | - |