Name | [SuperBull-Relaxed] / VolZilla |
Period | 2024-01-02 - 2024-09-05 |
Version | MesoSim-2.11.55-0-gb04f4285 |
Symbol | SPX |
Cash | $10000 |
Structure | Bull Call Spread |
Max number of positions in flight | 10 |
Expirations | 1 |
Legs | 2 |
Metric | Strategy | SPX |
---|---|---|
Trade Count | 18 | 1 |
Win/Loss rate | 17 / 1 = 17 | |
Adjustments | 0 | |
PT Hits | 17 | |
SL Hits | 0 | |
Max DIT Reaches | 1 | |
Settlements | 0 | |
Avg Days in Trade | 26.78 | 247 |
Cumulative Return | 65.59% | 16.39% |
CAGR | 110.71% | 25.15% |
Max Drawdown | -24.3% | -8.54% |
Sharpe | 1.87 | 1.72 |
Alpha | 0.22 | - |
Beta | 2.69 | - |
Kelly Criterion | 17.75 | 14.32 |
Profit Factor | 1.41 | 1.37 |
Probabilistic Sharpe | 94.24% | 90.67% |
Smart Sharpe | 1.87 | 1.72 |
Annual Volatility | 45.09% | 13.53% |
Omega | 1.41 | - |
Information ratio | 0.11 | - |
Avg Drawdown | -4.88% | -1.5% |
Avg Drawdown Days | 9 | 10 |
Avg Up Month | 14.3100 | 3.3000 |
Avg Down Month | -8.63% | -1.41% |
R^2 | 0.65 | 0.65 |
Calmar | 4.56 | 2.95 |
Treynor | 24.39 | - |