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- Strategy Definition
| Name | GeneticRhino-SPX-25Q4 / rhino_063b99fd2f7e7d0c |
| 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 | 196 | 1 |
| Win/Loss rate | 137 / 59 = 2.32 | |
| Adjustments | 237 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 96 | |
| Settlements | 0 | |
| Avg Days in Trade | 27.15 | 1397 |
| Cumulative Return | 44.5% | 43.95% |
| CAGR | 10.09% | 9.99% |
| Max Drawdown | -5.16% | -26.7% |
| Sharpe | 2.24 | 0.63 |
| Alpha | 0.09 | - |
| Beta | 0.02 | - |
| Kelly Criterion | 6.11 | -3.63 |
| Profit Factor | 1.34 | 1.07 |
| Probabilistic Sharpe | 100% | 89.1% |
| Smart Sharpe | 1.99 | 0.56 |
| Annual Volatility | 4.33% | 17.54% |
| Omega | 1.34 | - |
| Information ratio | 0 | - |
| Avg Drawdown | -0.26% | -1.38% |
| Avg Drawdown Days | 6 | 15 |
| Avg Up Month | 1.0200 | 3.4500 |
| Avg Down Month | -0.2% | -5.37% |
| R^2 | 0.01 | 0.01 |
| Calmar | 1.96 | 0.37 |
| Treynor | 1820.57 | - |