Put Debit Spread Complex StrikeSelector

Finished
Put Debit Spread
SPX 2022-01-03 → 2022-12-30· 1.0 y Put Debit Spread2 legs1 expirationMax positions 1
Finished 25-01-24 11:01Version MesoSim-2.12.10-0-g9250044a
Cumulative Return help 62.56% SPX -19.91%
CAGR help 63.44% SPX -20.11%
Win/Loss rate 2.678 wins / 3 losses
Trade Count 11Avg Days in Trade 10.61
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. Drawdown is measured on every NAV row. Click a legend entry to hide its series.

Risk Graph at first entry

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Statistics

Metric StrategySPX
Trades
Trade Count 111
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 10.61361
Performance
Cumulative Return 62.56%-19.91%
CAGR 63.44%-20.11%
Max Drawdown
from Peak		 -12.71%-26.7%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 2.39-0.83
Alpha 0.37-
Beta -0.74-
Kelly Criterion 23.049.22
Profit Factor 1.360.91
Probabilistic Sharpe 99.31%20.51%
Annual Volatility 21.52%23.71%
Omega 1.36-
Information ratio 0.07-
Avg Drawdown -2.29%-26.7%
Avg Drawdown Days 8360
Avg Up Month 2.150.35
Avg Down Month N/AN/A
R^2 0.670.67
Calmar 4.99-0.75
Treynor -84.52-

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