| Name | [SPX-Strangle] / Baseline |
| Period | 2022-01-03 - 2023-12-29 |
| Version | MesoSim-2.12.4-0-g278eb1a3 |
| Symbol | SPX |
| Cash | $100000 |
| Structure | Short Strangle |
| Max number of positions in flight | 1 |
| Expirations | 1 |
| Legs | 2 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 7 | 1 |
| Win/Loss rate | 6 / 1 = 6 | |
| Adjustments | 0 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 7 | |
| Settlements | 0 | |
| Avg Days in Trade | 90.43 | 725 |
| Cumulative Return | 21.6% | -0.35% |
| CAGR | 10.35% | -0.17% |
| Max Drawdown | -9.03% | -25.39% |
| Sharpe | 0.85 | 0.09 |
| Alpha | 0.1 | - |
| Beta | 0.33 | - |
| Kelly Criterion | 13.89 | -21.39 |
| Profit Factor | 1.22 | 1.01 |
| Probabilistic Sharpe | 87.93% | 54.82% |
| Smart Sharpe | 0.81 | 0.08 |
| Annual Volatility | 12.42% | 19.04% |
| Omega | 1.22 | - |
| Information ratio | 0.03 | - |
| Avg Drawdown | -1.06% | -25.39% |
| Avg Drawdown Days | 10 | 724 |
| Avg Up Month | 2.0600 | 4.7700 |
| Avg Down Month | -2.52% | -7.13% |
| R^2 | 0.26 | 0.26 |
| Calmar | 1.15 | -0.01 |
| Treynor | 64.84 | - |