| Name | [SPX-Short-Put] / Bull Market |
| Period | 2021-01-04 - 2021-12-30 |
| Version | MesoSim-2.10.1-0-g458485c |
| Symbol | SPX |
| Cash | $10000 |
| Structure | Short Put |
| Max number of positions in flight | 1 |
| Expirations | 1 |
| Legs | 1 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 11 | 1 |
| Win/Loss rate | 11 / 0 = ∞ | |
| Adjustments | 0 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 11 | |
| Settlements | 0 | |
| Avg Days in Trade | 30.55 | 360 |
| Cumulative Return | 194.5% | 29.93% |
| CAGR | 198.95% | 30.41% |
| Max Drawdown | -15.75% | -5.43% |
| Sharpe | 2.78 | 2.07 |
| Alpha | 0.45 | - |
| Beta | 2.68 | - |
| Kelly Criterion | 31.9 | 3.81 |
| Profit Factor | 1.86 | 1.42 |
| Probabilistic Sharpe | 99.57% | 97.69% |
| Smart Sharpe | 2.14 | 1.6 |
| Annual Volatility | 42.32% | 13.12% |
| Omega | 1.86 | - |
| Information ratio | 0.18 | - |
| Avg Drawdown | -2.38% | -1.25% |
| Avg Drawdown Days | 3 | 8 |
| Avg Up Month | 12.3800 | 3.1800 |
| Avg Down Month | -10.34% | -1.34% |
| R^2 | 0.69 | 0.69 |
| Calmar | 12.63 | 5.6 |
| Treynor | 72.46 | - |