fullperiod

Finished
NetZero-Adjusting
SPX 2020-06-01 → 2024-10-25· 4.4 y Broken Wing Butterfly3 legs1 expirationMax positions 4
Finished 24-10-27 09:50Version MesoSim-2.11.65-0-g16fd513e
Cumulative Return help 181.82% SPX 90.08%
CAGR help 26.53% SPX 15.71%
Win/Loss rate 1.02131 wins / 128 losses
Trade Count 259Avg Days in Trade 20.86
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. Drawdown is the strategy's, from its peak on every NAV row; click SPX drawdown to compare. Click a legend entry to hide its series.

Risk Graph at first entry

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Statistics

Metric StrategySPX
Trades
Trade Count 2591
Win/Loss rate 131 / 128 = 1.02-
Adjustments 95-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 115-
Settlements 0-
Avg Days in Trade 20.861607
Performance
Cumulative Return 181.82%90.08%
CAGR 26.53%15.71%
Max Drawdown
from Peak		 -42.98%-25.39%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 0.820.95
Alpha 0.26-
Beta 0.3-
Kelly Criterion -5.03-23.37
Profit Factor 1.191.18
Probabilistic Sharpe 94.58%97.5%
Annual Volatility 38.09%16.9%
Omega 1.19-
Information ratio 0.02-
Avg Drawdown -5.69%-1.71%
Avg Drawdown Days 2619
Avg Up Month 10.34.29
Avg Down Month -5.76%-3.52%
R^2 0.020.02
Calmar 0.620.62
Treynor 612.92-

Next steps

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