| Strategy | [SuperBull-Relaxed] / SadNilgai | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2024-01-02 to 2025-11-10 | Cash | $10000 | Expirations | 1 |
| Version | MesoSim-3.0.9-0-g4a2d309d | Structure | Bull Call Spread | Legs | 2 |
| Strategy | [SuperBull-Relaxed] / SadNilgai |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2024-01-02 to 2025-11-10 |
| Cash | $10000 |
| Expirations | 1 |
| Version | MesoSim-3.0.9-0-g4a2d309d |
| Structure | Bull Call Spread |
| Legs | 2 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 19 | 1 |
| Win/Loss rate | 15 / 4 = 3.75 | - |
| Adjustments | 0 | - |
| PT Hits | 15 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 4 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 32.05 | 678 |
| Cumulative Return | 49.7% | 44.56% |
| CAGR | 24.26% | 21.94% |
| Max Drawdown from Peak |
-14.65% | -18.63% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 1.41 | 1.32 |
| Alpha | 0.05 | - |
| Beta | 0.86 | - |
| Kelly Criterion | 11.93 | 13.92 |
| Profit Factor | 1.3 | 1.29 |
| Probabilistic Sharpe | 97.72% | 96.51% |
| Annual Volatility | 16.33% | 16.08% |
| Omega | 1.3 | - |
| Information ratio | 0.01 | - |
| Avg Drawdown | -1.83% | -1.75% |
| Avg Drawdown Days | 14 | 12 |
| Avg Up Month | 4.19 | 3.12 |
| Avg Down Month | -4.73% | -2.62% |
| R^2 | 0.71 | 0.71 |
| Calmar | 1.66 | 1.18 |
| Treynor | 58.1 | - |