Enter-RootSelector-2022

Finished
[Enter-RootSelector]
SPX 2022-01-03 → 2022-12-30· 1.0 y ShortPut1 leg1 expirationMax positions 1
Finished 23-02-19 12:45Version MesoSim-2.4.0-0-g6ed4d42
Cumulative Return help 73.94% SPX -20.33%
CAGR help 75.01% SPX -20.53%
Win/Loss rate 1010 wins / 1 loss
Trade Count 11Avg Days in Trade 30.55
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 111
Win/Loss rate 10 / 1 = 10-
Adjustments 0-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 11-
Settlements 0-
Avg Days in Trade 30.55361
Performance
Cumulative Return 73.94%-20.33%
CAGR 75.01%-20.53%
Max Drawdown
from Peak		 -46.98%-25.39%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 1.11-0.85
Alpha 1.25-
Beta 1.97-
Kelly Criterion 24.86-21.3
Profit Factor 1.340.87
Probabilistic Sharpe 86.68%19.88%
Annual Volatility 76.42%23.66%
Omega 1.34-
Information ratio 0.1-
Avg Drawdown -3.98%-25.39%
Avg Drawdown Days 7360
Avg Up Month 11.395.83
Avg Down Month -12.17%-6.5%
R^2 0.370.37
Calmar 1.6-0.81
Treynor 37.45-

Next steps

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