| Strategy | [NetZero] / VolZilla | Symbol | SPX | Max positions | 4 |
|---|---|---|---|---|---|
| Period | 2024-01-02 to 2024-09-05 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.11.55-0-gb04f4285 | Structure | Broken Wing Butterfly | Legs | 3 |
| Strategy | [NetZero] / VolZilla |
|---|---|
| Symbol | SPX |
| Max positions | 4 |
| Period | 2024-01-02 to 2024-09-05 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.11.55-0-gb04f4285 |
| Structure | Broken Wing Butterfly |
| Legs | 3 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 42 | 1 |
| Win/Loss rate | 3 / 39 = 0.08 | - |
| Adjustments | 0 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 6 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 16.81 | 247 |
| Cumulative Return | -173.32% | 16.95% |
| CAGR | -36.78% | 26.03% |
| Max Drawdown from Peak |
-178.19% | -8.56% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | -1.22 | 1.85 |
| Alpha | -271.46 | - |
| Beta | 46.31 | - |
| Kelly Criterion | -2677.06 | 11.07 |
| Profit Factor | 0.1 | 1.4 |
| Probabilistic Sharpe | 2.16% | 91.53% |
| Annual Volatility | 21271.51% | 12.91% |
| Omega | 0.1 | - |
| Information ratio | -0.08 | - |
| Avg Drawdown | -89.34% | -1.41% |
| Avg Drawdown Days | 120 | 10 |
| Avg Up Month | 248.08 | 1.07 |
| Avg Down Month | -18.08% | -2.53% |
| R^2 | 0 | 0 |
| Calmar | -0.21 | 3.04 |
| Treynor | -3.74 | - |