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- Strategy Definition
| Name | GeneticRhino-SPX-25Q4 / rhino_5aa7e8308b5303b2 |
| Period | 2022-01-03 - 2025-10-31 |
| Version | MesoSim-3.0.10-0-g72f035f3 |
| Symbol | SPX |
| Cash | $250000 |
| Structure | Rhino-like |
| Max number of positions in flight | 12 |
| Expirations | 2 |
| Legs | 5 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 193 | 1 |
| Win/Loss rate | 157 / 36 = 4.36 | |
| Adjustments | 281 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 52 | |
| Settlements | 0 | |
| Avg Days in Trade | 38.53 | 1397 |
| Cumulative Return | 60.08% | 43.95% |
| CAGR | 13.08% | 9.99% |
| Max Drawdown | -4.24% | -26.7% |
| Sharpe | 2.31 | 0.63 |
| Alpha | 0.12 | - |
| Beta | 0.04 | - |
| Kelly Criterion | 11.34 | 2.12 |
| Profit Factor | 1.35 | 1.07 |
| Probabilistic Sharpe | 100% | 89.14% |
| Smart Sharpe | 2.03 | 0.56 |
| Annual Volatility | 5.39% | 17.5% |
| Omega | 1.35 | - |
| Information ratio | 0 | - |
| Avg Drawdown | -0.3% | -1.38% |
| Avg Drawdown Days | 6 | 15 |
| Avg Up Month | 1.3500 | 3.6600 |
| Avg Down Month | -0.22% | -0.05% |
| R^2 | 0.02 | 0.02 |
| Calmar | 3.08 | 0.37 |
| Treynor | 1349.8 | - |