Name | DiffEvo-DeltaMap / WornSnipe |
Period | 2012-01-03 - 2023-12-29 |
Version | MesoSim-2.11.3-0-g401d57d |
Symbol | SPX |
Cash | $100000 |
Structure | BWB |
Max number of positions in flight | 4 |
Expirations | 1 |
Legs | 3 |
Metric | Strategy | SPX |
---|---|---|
Trade Count | 317 | 1 |
Win/Loss rate | 257 / 60 = 4.28 | |
Adjustments | 0 | |
PT Hits | 0 | |
SL Hits | 45 | |
Max DIT Reaches | 0 | |
Settlements | 366 | |
Avg Days in Trade | 34.68 | 4378 |
Cumulative Return | 541.14% | 273.45% |
CAGR | 16.76% | 11.61% |
Max Drawdown | -25.06% | -34.83% |
Sharpe | 1.05 | 0.77 |
Alpha | 0.07 | - |
Beta | 0.79 | - |
Kelly Criterion | 16.63 | -1.82 |
Profit Factor | 1.27 | 1.16 |
Probabilistic Sharpe | 99.97% | 99.59% |
Smart Sharpe | 1.04 | 0.77 |
Annual Volatility | 16.03% | 15.86% |
Omega | 1.27 | - |
Information ratio | 0.03 | - |
Avg Drawdown | -1.25% | -1.65% |
Avg Drawdown Days | 11 | 19 |
Avg Up Month | 3.4100 | 3.4400 |
Avg Down Month | -4.89% | -5.12% |
R^2 | 0.61 | 0.61 |
Calmar | 0.67 | 0.33 |
Treynor | 686.31 | - |