| Name | Put Debit Spread / Put Debit Spread Complex StrikeSelector |
| Period | 2022-01-03 - 2022-12-30 |
| Version | MesoSim-2.12.10-0-g9250044a |
| Symbol | SPX |
| Cash | $100000 |
| Structure | Put Debit Spread |
| Max number of positions in flight | 1 |
| Expirations | 1 |
| Legs | 2 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 11 | 1 |
| Win/Loss rate | 8 / 3 = 2.67 | |
| Adjustments | 0 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 1 | |
| Settlements | 20 | |
| Avg Days in Trade | 10.61 | 361 |
| Cumulative Return | 62.56% | -19.91% |
| CAGR | 63.44% | -20.11% |
| Max Drawdown | -12.71% | -26.7% |
| Sharpe | 2.39 | -0.83 |
| Alpha | 0.37 | - |
| Beta | -0.74 | - |
| Kelly Criterion | 23.04 | 9.22 |
| Profit Factor | 1.36 | 0.91 |
| Probabilistic Sharpe | 99.31% | 20.51% |
| Smart Sharpe | 2.22 | -0.77 |
| Annual Volatility | 21.52% | 23.71% |
| Omega | 1.36 | - |
| Information ratio | 0.07 | - |
| Avg Drawdown | -2.29% | -26.7% |
| Avg Drawdown Days | 8 | 360 |
| Avg Up Month | 2.1500 | 0.3500 |
| Avg Down Month | ||
| R^2 | 0.67 | 0.67 |
| Calmar | 4.99 | -0.75 |
| Treynor | -84.52 | - |