| Name | DoubleDiagonal / ManyChital |
| Period | 2020-01-02 - 2024-08-08 |
| Version | MesoSim-2.11.49-0-gcff1b59 |
| Symbol | SPX |
| Cash | $10000 |
| Structure | Double Diagonal |
| Max number of positions in flight | 1 |
| Expirations | 2 |
| Legs | 4 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 213 | 1 |
| Win/Loss rate | 141 / 72 = 1.96 | |
| Adjustments | 0 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 185 | |
| Settlements | 0 | |
| Avg Days in Trade | 2.88 | 1680 |
| Cumulative Return | 97.82% | 63.4% |
| CAGR | 15.98% | 11.26% |
| Max Drawdown | -7.81% | -34.83% |
| Sharpe | 1.49 | 0.63 |
| Alpha | 0.16 | - |
| Beta | -0.09 | - |
| Kelly Criterion | 11.83 | -2.59 |
| Profit Factor | 1.65 | 1.12 |
| Probabilistic Sharpe | 99.98% | 90.86% |
| Smart Sharpe | 1.45 | 0.61 |
| Annual Volatility | 10.29% | 20.39% |
| Omega | 1.65 | - |
| Information ratio | 0.01 | - |
| Avg Drawdown | -0.97% | -2.22% |
| Avg Drawdown Days | 26 | 22 |
| Avg Up Month | 1.7300 | 4.4200 |
| Avg Down Month | -1.88% | -4.1% |
| R^2 | 0.03 | 0.03 |
| Calmar | 2.05 | 0.32 |
| Treynor | -1146.75 | - |