| Name | [SuperBull-Relaxed] / OutgoingFrog |
| Period | 2020-01-02 - 2024-08-07 |
| Version | MesoSim-2.11.49-0-gcff1b59 |
| Symbol | SPX |
| Cash | $100000 |
| Structure | Bull Call Spread |
| Max number of positions in flight | 10 |
| Expirations | 1 |
| Legs | 2 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 282 | 1 |
| Win/Loss rate | 220 / 62 = 3.55 | |
| Adjustments | 0 | |
| PT Hits | 211 | |
| SL Hits | 0 | |
| Max DIT Reaches | 71 | |
| Settlements | 2 | |
| Avg Days in Trade | 37.55 | 1679 |
| Cumulative Return | 43.2% | 60.85% |
| CAGR | 8.12% | 10.89% |
| Max Drawdown | -17.37% | -34.83% |
| Sharpe | 0.74 | 0.61 |
| Alpha | 0.03 | - |
| Beta | 0.42 | - |
| Kelly Criterion | 4.81 | 8.05 |
| Profit Factor | 1.15 | 1.12 |
| Probabilistic Sharpe | 94.41% | 90.27% |
| Smart Sharpe | 0.72 | 0.59 |
| Annual Volatility | 11.43% | 20.4% |
| Omega | 1.15 | - |
| Information ratio | -0.02 | - |
| Avg Drawdown | -1.41% | -2.22% |
| Avg Drawdown Days | 20 | 22 |
| Avg Up Month | 3.4700 | 4.7400 |
| Avg Down Month | -3.68% | -4.83% |
| R^2 | 0.57 | 0.57 |
| Calmar | 0.47 | 0.31 |
| Treynor | 102.08 | - |