SPX-AddPDSAdjustment

Finished
[SPX-AddPDSAdjustment]
SPX 2021-01-04 → 2021-12-30· 1.0 y Long Call at initiation, then Put Debit Spread added1 leg1 expirationMax positions 1
Finished 23-04-23 11:19Version MesoSim-2.7.0-0-ge13f90a
Cumulative Return help 27.81% SPX 29.93%
CAGR help 28.24% SPX 30.41%
Win/Loss rate 0.574 wins / 7 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. 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 4 / 7 = 0.57-
Adjustments 11-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 11-
Settlements 0-
Avg Days in Trade 30.55360
Performance
Cumulative Return 27.81%29.93%
CAGR 28.24%30.41%
Max Drawdown
from Peak		 -65.21%-5.43%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 0.772.07
Alpha -0.45-
Beta 5-
Kelly Criterion -1.5321.87
Profit Factor 1.161.43
Probabilistic Sharpe 78.51%97.69%
Annual Volatility 118.53%13.14%
Omega 1.16-
Information ratio 0.04-
Avg Drawdown -41.14%-1.25%
Avg Drawdown Days 1178
Avg Up Month 40.84.37
Avg Down Month -38.73%-3.62%
R^2 0.310.31
Calmar 0.435.6
Treynor 5.57-

Next steps

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