| Strategy | [NetZero] / NetZero-RegT-Margin | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2022-01-03 to 2022-12-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.8.1-0-gda977ce | Structure | Broken Wing Butterfly | Legs | 3 |
| Strategy | [NetZero] / NetZero-RegT-Margin |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2022-01-03 to 2022-12-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.8.1-0-gda977ce |
| Structure | Broken Wing Butterfly |
| Legs | 3 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 19 | 1 |
| Win/Loss rate | 14 / 5 = 2.8 | - |
| Adjustments | 0 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 4 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 16.89 | 361 |
| Cumulative Return | 78.31% | -20.33% |
| CAGR | 79.46% | -20.53% |
| Max Drawdown from Peak |
-5.82% | -25.39% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 3.23 | -0.85 |
| Alpha | 0.59 | - |
| Beta | -0.06 | - |
| Kelly Criterion | 17.02 | -27.11 |
| Profit Factor | 1.75 | 0.87 |
| Probabilistic Sharpe | 99.91% | 19.9% |
| Annual Volatility | 18.53% | 23.62% |
| Omega | 1.75 | - |
| Information ratio | 0.16 | - |
| Avg Drawdown | -1.78% | -25.39% |
| Avg Drawdown Days | 9 | 360 |
| Avg Up Month | 5.88 | 5.88 |
| Avg Down Month | -0.16% | -4.25% |
| R^2 | 0.01 | 0.01 |
| Calmar | 13.64 | -0.81 |
| Treynor | -1229.33 | - |