| Name | DoubleDiagonal / ManyChital |
| Period | 2024-01-02 - 2024-08-08 |
| Version | MesoSim-2.11.48-0-g25f6086 |
| Symbol | SPX |
| Cash | $10000 |
| Structure | Double Diagonal |
| Max number of positions in flight | 1 |
| Expirations | 2 |
| Legs | 4 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 28 | 1 |
| Win/Loss rate | 18 / 10 = 1.8 | |
| Adjustments | 0 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 25 | |
| Settlements | 0 | |
| Avg Days in Trade | 2.89 | 219 |
| Cumulative Return | 9.42% | 12.3% |
| CAGR | 16.18% | 21.34% |
| Max Drawdown | -4.68% | -8.54% |
| Sharpe | 1.56 | 1.48 |
| Alpha | 0.14 | - |
| Beta | 0.06 | - |
| Kelly Criterion | 11.85 | -7.36 |
| Profit Factor | 1.53 | 1.31 |
| Probabilistic Sharpe | 88.68% | 85.89% |
| Smart Sharpe | 1.34 | 1.27 |
| Annual Volatility | 9.85% | 13.62% |
| Omega | 1.53 | - |
| Information ratio | -0.02 | - |
| Avg Drawdown | -0.8% | -1.5% |
| Avg Drawdown Days | 9 | 8 |
| Avg Up Month | 1.3600 | 3.2800 |
| Avg Down Month | ||
| R^2 | 0.01 | 0.01 |
| Calmar | 3.46 | 2.5 |
| Treynor | 161.82 | - |