| Name | [SPX-MarkLeg] / VaporousGnu |
| Period | 2022-01-03 - 2022-12-30 |
| Version | MesoSim-2.10.22-0-g58f48da |
| Symbol | SPX |
| Cash | $10000 |
| Structure | Short Put at initiation, then Long Put added |
| Max number of positions in flight | 1 |
| Expirations | 1 |
| Legs | 2 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 11 | 1 |
| Win/Loss rate | 9 / 2 = 4.5 | |
| Adjustments | 7 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 11 | |
| Settlements | 0 | |
| Avg Days in Trade | 30.55 | 361 |
| Cumulative Return | -3.55% | -20.33% |
| CAGR | -3.58% | -20.53% |
| Max Drawdown | -100.32% | -25.39% |
| Sharpe | -0.73 | -0.85 |
| Alpha | -27.95 | - |
| Beta | 3.96 | - |
| Kelly Criterion | 25.88 | -11.41 |
| Profit Factor | 0.4 | 0.87 |
| Probabilistic Sharpe | 13.78% | 19.9% |
| Smart Sharpe | -0.71 | -0.82 |
| Annual Volatility | 3914.63% | 23.62% |
| Omega | 0.4 | - |
| Information ratio | -0.05 | - |
| Avg Drawdown | -29.89% | -25.39% |
| Avg Drawdown Days | 48 | 360 |
| Avg Up Month | 11.6500 | 5.1200 |
| Avg Down Month | -31.35% | -4.64% |
| R^2 | 0 | 0 |
| Calmar | -0.04 | -0.81 |
| Treynor | -0.9 | - |