Name | DiffEvo-PointMap / DiffEvo-PointMap |
Period | 2012-01-03 - 2023-12-29 |
Version | MesoSim-2.10.60-0-g995c747 |
Symbol | SPX |
Cash | $100000 |
Structure | BWB |
Max number of positions in flight | 4 |
Expirations | 1 |
Legs | 3 |
Metric | Strategy | SPX |
---|---|---|
Trade Count | 151 | 1 |
Win/Loss rate | 129 / 22 = 5.86 | |
Adjustments | 0 | |
PT Hits | 0 | |
SL Hits | 15 | |
Max DIT Reaches | 0 | |
Settlements | 3 | |
Avg Days in Trade | 35.67 | 4378 |
Cumulative Return | 131.77% | 272.66% |
CAGR | 7.26% | 11.59% |
Max Drawdown | -12.41% | -33.47% |
Sharpe | 0.99 | 0.76 |
Alpha | 0.06 | - |
Beta | 0.14 | - |
Kelly Criterion | 18.61 | -1.89 |
Profit Factor | 1.4 | 1.15 |
Probabilistic Sharpe | 99.96% | 99.5% |
Smart Sharpe | 0.94 | 0.72 |
Annual Volatility | 7.35% | 16.29% |
Omega | 1.4 | - |
Information ratio | -0.02 | - |
Avg Drawdown | -1.12% | -1.68% |
Avg Drawdown Days | 33 | 19 |
Avg Up Month | 2.7700 | 2.6100 |
Avg Down Month | -2.35% | -3.84% |
R^2 | 0.1 | 0.1 |
Calmar | 0.59 | 0.35 |
Treynor | 940.48 | - |