| Strategy | [NetZero] / NetZero-DeltaRay | Symbol | SPX | Max positions | 4 |
|---|---|---|---|---|---|
| Period | 2012-01-03 to 2022-12-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.4.1-0-g2e90ec5 | Structure | Broken Wing Butterfly | Legs | 3 |
| Strategy | [NetZero] / NetZero-DeltaRay |
|---|---|
| Symbol | SPX |
| Max positions | 4 |
| Period | 2012-01-03 to 2022-12-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.4.1-0-g2e90ec5 |
| Structure | Broken Wing Butterfly |
| Legs | 3 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 662 | 1 |
| Win/Loss rate | 403 / 259 = 1.56 | - |
| Adjustments | 0 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 172 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 19.75 | 4014 |
| Cumulative Return | 649.24% | 198.05% |
| CAGR | 20.1% | 10.44% |
| Max Drawdown from Peak |
-29.94% | -32.79% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 1.32 | 0.71 |
| Alpha | 0.2 | - |
| Beta | -0.02 | - |
| Kelly Criterion | 3.2 | -19.88 |
| Profit Factor | 1.35 | 1.14 |
| Probabilistic Sharpe | 100% | 99.01% |
| Annual Volatility | 14.65% | 15.68% |
| Omega | 1.35 | - |
| Information ratio | 0.02 | - |
| Avg Drawdown | -1.47% | -1.68% |
| Avg Drawdown Days | 17 | 17 |
| Avg Up Month | 2.39 | 3.26 |
| Avg Down Month | -3.11% | -5.48% |
| R^2 | 0 | 0 |
| Calmar | 0.67 | 0.32 |
| Treynor | -37496.77 | - |