Baseline

Finished
[SPX-Strangle]
SPX 2022-01-03 → 2023-12-29· 2.0 y Short Strangle2 legs1 expirationMax positions 1
Finished 24-11-25 09:01Version MesoSim-2.12.4-0-g278eb1a3
Cumulative Return help 21.6% SPX -0.35%
CAGR help 10.35% SPX -0.17%
Win/Loss rate 66 wins / 1 loss
Trade Count 7Avg Days in Trade 90.43
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. Drawdown is measured on every NAV row. Click a legend entry to hide its series.

Risk Graph at first entry

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Statistics

Metric StrategySPX
Trades
Trade Count 71
Win/Loss rate 6 / 1 = 6-
Adjustments 0-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 7-
Settlements 0-
Avg Days in Trade 90.43725
Performance
Cumulative Return 21.6%-0.35%
CAGR 10.35%-0.17%
Max Drawdown
from Peak		 -9.03%-25.39%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 0.850.09
Alpha 0.1-
Beta 0.33-
Kelly Criterion 13.89-21.39
Profit Factor 1.221.01
Probabilistic Sharpe 87.93%54.82%
Annual Volatility 12.42%19.04%
Omega 1.22-
Information ratio 0.03-
Avg Drawdown -1.06%-25.39%
Avg Drawdown Days 10724
Avg Up Month 2.064.77
Avg Down Month -2.52%-7.13%
R^2 0.260.26
Calmar 1.15-0.01
Treynor 64.84-

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