DiffEvo-PointMap

Finished
SPX 2012-01-03 → 2023-12-29· 12.0 y BWB3 legs1 expirationMax positions 4
Finished 24-04-05 12:52Version MesoSim-2.10.60-0-g995c747
Cumulative Return help 131.77% SPX 272.66%
CAGR help 7.26% SPX 11.59%
Win/Loss rate 5.86129 wins / 22 losses
Trade Count 151Avg Days in Trade 35.67
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. Drawdown is the strategy's, from its peak on every NAV row; click SPX drawdown to compare. Click a legend entry to hide its series.

Risk Graph at first entry

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Statistics

Metric StrategySPX
Trades
Trade Count 1511
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 35.674378
Performance
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/AN/A
Sharpe 0.990.76
Alpha 0.06-
Beta 0.14-
Kelly Criterion 18.61-1.89
Profit Factor 1.41.15
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 3319
Avg Up Month 2.772.61
Avg Down Month -2.35%-3.84%
R^2 0.10.1
Calmar 0.590.35
Treynor 940.48-

Next steps

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