Name | [NetZero] / NetZero-RegT-Margin |
Period | 2022-01-03 - 2022-12-30 |
Version | MesoSim-2.8.1-0-gda977ce |
Symbol | SPX |
Cash | $10000 |
Structure | Broken Wing Butterfly |
Max number of positions in flight | 1 |
Expirations | 1 |
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 | -5.82% | -25.39% |
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% |
Smart Sharpe | 3 | -0.79 |
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 | 5.8800 | 5.8800 |
Avg Down Month | -0.16% | -4.25% |
R^2 | 0.01 | 0.01 |
Calmar | 13.64 | -0.81 |
Treynor | -1229.33 | - |