| Strategy | [SuperBull-Relaxed] / VolZilla | Symbol | SPX | Max positions | 10 |
|---|---|---|---|---|---|
| Period | 2024-01-02 to 2024-09-05 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.11.55-0-gb04f4285 | Structure | Bull Call Spread | Legs | 2 |
| Strategy | [SuperBull-Relaxed] / VolZilla |
|---|---|
| Symbol | SPX |
| Max positions | 10 |
| Period | 2024-01-02 to 2024-09-05 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.11.55-0-gb04f4285 |
| Structure | Bull Call Spread |
| Legs | 2 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 18 | 1 |
| Win/Loss rate | 17 / 1 = 17 | - |
| Adjustments | 0 | - |
| PT Hits | 17 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 1 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 26.78 | 247 |
| Cumulative Return | 65.59% | 16.39% |
| CAGR | 110.71% | 25.15% |
| Max Drawdown from Peak |
-24.3% | -8.54% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 1.87 | 1.72 |
| Alpha | 0.22 | - |
| Beta | 2.69 | - |
| Kelly Criterion | 17.75 | 14.32 |
| Profit Factor | 1.41 | 1.37 |
| Probabilistic Sharpe | 94.24% | 90.67% |
| Annual Volatility | 45.09% | 13.53% |
| Omega | 1.41 | - |
| Information ratio | 0.11 | - |
| Avg Drawdown | -4.88% | -1.5% |
| Avg Drawdown Days | 9 | 10 |
| Avg Up Month | 14.31 | 3.3 |
| Avg Down Month | -8.63% | -1.41% |
| R^2 | 0.65 | 0.65 |
| Calmar | 4.56 | 2.95 |
| Treynor | 24.39 | - |