| Strategy | [NetZero] / NetZero-Original | 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-Original |
|---|---|
| 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 | 501 | 1 |
| Win/Loss rate | 266 / 235 = 1.13 | - |
| Adjustments | 0 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 0 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 26.98 | 4014 |
| Cumulative Return | 496.05% | 198.05% |
| CAGR | 17.62% | 10.44% |
| Max Drawdown from Peak |
-51.97% | -32.79% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 0.74 | 0.71 |
| Alpha | 0.22 | - |
| Beta | -0.24 | - |
| Kelly Criterion | 1.98 | -23.6 |
| Profit Factor | 1.2 | 1.14 |
| Probabilistic Sharpe | 99.88% | 99.01% |
| Annual Volatility | 25.99% | 15.68% |
| Omega | 1.2 | - |
| Information ratio | 0.02 | - |
| Avg Drawdown | -4.15% | -1.68% |
| Avg Drawdown Days | 45 | 17 |
| Avg Up Month | 3.4 | 3.02 |
| Avg Down Month | -3.67% | -3.82% |
| R^2 | 0.02 | 0.02 |
| Calmar | 0.34 | 0.32 |
| Treynor | -2059 | - |