Bear Market

Finished
[SPX-TrailingStop]
SPX 2022-01-03 → 2022-12-30· 1.0 y Short Put1 leg1 expirationMax positions 1
Finished 23-09-13 07:33Version MesoSim-2.10.1-0-g458485c
Cumulative Return help 80.3% SPX -20.33%
CAGR help 81.49% SPX -20.53%
Win/Loss rate 0.7221 wins / 29 losses
Trade Count 50Avg Days in Trade 5.92
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 501
Win/Loss rate 21 / 29 = 0.72-
Adjustments 116-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 3-
Settlements 0-
Avg Days in Trade 5.92361
Performance
Cumulative Return 80.3%-20.33%
CAGR 81.49%-20.53%
Max Drawdown
from Peak		 -32.06%-25.39%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 1.33-0.85
Alpha 1.1-
Beta 1.75-
Kelly Criterion 15.87-16.98
Profit Factor 1.340.87
Probabilistic Sharpe 90.83%19.9%
Annual Volatility 56.65%23.62%
Omega 1.34-
Information ratio 0.14-
Avg Drawdown -5.21%-25.39%
Avg Drawdown Days 13360
Avg Up Month 16.265.83
Avg Down Month -4.74%-6.2%
R^2 0.530.53
Calmar 2.54-0.81
Treynor 45.98-

Next steps

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