| Name | [SPX-AddPDSAdjustment] / SPX-AddPDSAdjustment |
| Period | 2021-01-04 - 2021-12-30 |
| Version | MesoSim-2.7.0-0-ge13f90a |
| Symbol | SPX |
| Cash | $10000 |
| Structure | Long Call at initiation, then Put Debit Spread added |
| Max number of positions in flight | 1 |
| Expirations | 1 |
| Legs | 1 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 11 | 1 |
| Win/Loss rate | 4 / 7 = 0.57 | |
| Adjustments | 11 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 11 | |
| Settlements | 0 | |
| Avg Days in Trade | 30.55 | 360 |
| Cumulative Return | 27.81% | 29.93% |
| CAGR | 28.24% | 30.41% |
| Max Drawdown | -65.21% | -5.43% |
| Sharpe | 0.77 | 2.07 |
| Alpha | -0.45 | - |
| Beta | 5 | - |
| Kelly Criterion | -1.53 | 21.87 |
| Profit Factor | 1.16 | 1.43 |
| Probabilistic Sharpe | 78.51% | 97.69% |
| Smart Sharpe | 0.77 | 2.07 |
| Annual Volatility | 118.53% | 13.14% |
| Omega | 1.16 | - |
| Information ratio | 0.04 | - |
| Avg Drawdown | -41.14% | -1.25% |
| Avg Drawdown Days | 117 | 8 |
| Avg Up Month | 40.8000 | 4.3700 |
| Avg Down Month | -38.73% | -3.62% |
| R^2 | 0.31 | 0.31 |
| Calmar | 0.43 | 5.6 |
| Treynor | 5.57 | - |