| Name | [SuperBull-Relaxed] / OutgoingFrog |
| Period | 2024-01-02 - 2024-08-07 |
| Version | MesoSim-2.11.48-0-g25f6086 |
| Symbol | SPX |
| Cash | $100000 |
| Structure | Bull Call Spread |
| Max number of positions in flight | 10 |
| Expirations | 1 |
| Legs | 2 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 50 | 1 |
| Win/Loss rate | 47 / 3 = 15.67 | |
| Adjustments | 0 | |
| PT Hits | 44 | |
| SL Hits | 0 | |
| Max DIT Reaches | 6 | |
| Settlements | 0 | |
| Avg Days in Trade | 29.54 | 218 |
| Cumulative Return | 13.45% | 10.55% |
| CAGR | 23.52% | 18.29% |
| Max Drawdown | -8.23% | -8.54% |
| Sharpe | 1.45 | 1.31 |
| Alpha | 0.06 | - |
| Beta | 0.95 | - |
| Kelly Criterion | 14.47 | 9.82 |
| Profit Factor | 1.3 | 1.27 |
| Probabilistic Sharpe | 87.18% | 82.92% |
| Smart Sharpe | 1.43 | 1.28 |
| Annual Volatility | 15.32% | 13.53% |
| Omega | 1.3 | - |
| Information ratio | 0.03 | - |
| Avg Drawdown | -1.78% | -1.5% |
| Avg Drawdown Days | 8 | 8 |
| Avg Up Month | 5.1800 | 3.5800 |
| Avg Down Month | -4.1% | -2.47% |
| R^2 | 0.7 | 0.7 |
| Calmar | 2.86 | 2.14 |
| Treynor | 14.23 | - |