| Name | QuantPedia - Composite Seasonal / Baseline - SyntheticLong |
| Period | 2012-01-04 - 2023-12-29 |
| Version | MesoSim-2.10.51-0-g1ec42f1 |
| Symbol | SPX |
| Cash | $50000 |
| Structure | Synthetic Long |
| Max number of positions in flight | 1 |
| Expirations | 1 |
| Legs | 2 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 319 | 1 |
| Win/Loss rate | 199 / 120 = 1.66 | |
| Adjustments | 0 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 257 | |
| Settlements | 124 | |
| Avg Days in Trade | 3.09 | 4377 |
| Cumulative Return | 547.71% | 274.32% |
| CAGR | 16.86% | 11.64% |
| Max Drawdown | -22.96% | -33.47% |
| Sharpe | 1.04 | 0.78 |
| Alpha | 0.1 | - |
| Beta | 0.59 | - |
| Kelly Criterion | 3.75 | 7.93 |
| Profit Factor | 1.24 | 1.11 |
| Probabilistic Sharpe | 99.98% | 99.62% |
| Smart Sharpe | 0.99 | 0.75 |
| Annual Volatility | 16.24% | 15.64% |
| Omega | 1.24 | - |
| Information ratio | 0.01 | - |
| Avg Drawdown | -2.15% | -1.33% |
| Avg Drawdown Days | 22 | 13 |
| Avg Up Month | 4.4200 | 3.5300 |
| Avg Down Month | -4.94% | -3.97% |
| R^2 | 0.32 | 0.32 |
| Calmar | 0.73 | 0.35 |
| Treynor | 927.85 | - |