| Strategy | DiffEvo-PointMap | Symbol | SPX | Max positions | 4 |
|---|---|---|---|---|---|
| Period | 2012-01-03 to 2023-12-29 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.10.60-0-g995c747 | Structure | BWB | Legs | 3 |
| Strategy | DiffEvo-PointMap |
|---|---|
| Symbol | SPX |
| Max positions | 4 |
| Period | 2012-01-03 to 2023-12-29 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.10.60-0-g995c747 |
| Structure | BWB |
| Legs | 3 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 151 | 1 |
| Win/Loss rate | 129 / 22 = 5.86 | - |
| Adjustments | 0 | - |
| PT Hits | 0 | - |
| SL Hits | 15 | - |
| Max DIT Reaches | 0 | - |
| Settlements | 3 | - |
| Avg Days in Trade | 35.67 | 4378 |
| Cumulative Return | 131.77% | 272.66% |
| CAGR | 7.26% | 11.59% |
| Max Drawdown from Peak |
-12.41% | -33.47% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 0.99 | 0.76 |
| Alpha | 0.06 | - |
| Beta | 0.14 | - |
| Kelly Criterion | 18.61 | -1.89 |
| Profit Factor | 1.4 | 1.15 |
| Probabilistic Sharpe | 99.96% | 99.5% |
| Annual Volatility | 7.35% | 16.29% |
| Omega | 1.4 | - |
| Information ratio | -0.02 | - |
| Avg Drawdown | -1.12% | -1.68% |
| Avg Drawdown Days | 33 | 19 |
| Avg Up Month | 2.77 | 2.61 |
| Avg Down Month | -2.35% | -3.84% |
| R^2 | 0.1 | 0.1 |
| Calmar | 0.59 | 0.35 |
| Treynor | 940.48 | - |