| Name | [SuperBull-Relaxed] / SadNilgai |
| Period | 2013-01-02 - 2022-12-30 |
| Version | MesoSim-2.9.5-0-g17bea13 |
| Symbol | SPX |
| Cash | $10000 |
| Structure | Bull Call Spread |
| Max number of positions in flight | 10 |
| Expirations | 1 |
| Legs | 2 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 243 | 1 |
| Win/Loss rate | 193 / 50 = 3.86 | |
| Adjustments | 0 | |
| PT Hits | 188 | |
| SL Hits | 0 | |
| Max DIT Reaches | 49 | |
| Settlements | 14 | |
| Avg Days in Trade | 35.72 | 3649 |
| Cumulative Return | 488.63% | 162.42% |
| CAGR | 19.4% | 10.13% |
| Max Drawdown | -30.55% | -34.83% |
| Sharpe | 1.06 | 0.67 |
| Alpha | 0.12 | - |
| Beta | 0.71 | - |
| Kelly Criterion | 10.13 | 5.8 |
| Profit Factor | 1.26 | 1.14 |
| Probabilistic Sharpe | 99.95% | 98.2% |
| Smart Sharpe | 1.01 | 0.64 |
| Annual Volatility | 18.35% | 16.4% |
| Omega | 1.26 | - |
| Information ratio | 0.04 | - |
| Avg Drawdown | -1.99% | -1.66% |
| Avg Drawdown Days | 17 | 17 |
| Avg Up Month | 4.9100 | 3.4400 |
| Avg Down Month | -5.15% | -4.52% |
| R^2 | 0.4 | 0.4 |
| Calmar | 0.63 | 0.29 |
| Treynor | 688.31 | - |