NetZero-2024

Finished
[NetZero]
SPX 2024-01-02 → 2024-10-25· 0.8 y Broken Wing Butterfly3 legs1 expirationMax positions 4
Finished 24-10-27 06:09Version MesoSim-2.11.65-0-g16fd513e
Cumulative Return help -155.69% SPX 22.99%
CAGR help -51.3% SPX 28.96%
Win/Loss rate 0.28 wins / 40 losses
Trade Count 48Avg Days in Trade 20.44
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. A series that closes at zero or below is shifted up by its lowest value first. 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

Please sign in to see the Risk Graph at first entry.

Statistics

Metric StrategySPX
Trades
Trade Count 481
Win/Loss rate 8 / 40 = 0.2-
Adjustments 0-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 12-
Settlements 0-
Avg Days in Trade 20.44297
Performance
Cumulative Return -155.69%22.99%
CAGR -51.3%28.96%
Max Drawdown
from Peak		 -159.79%-8.54%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe -0.892.11
Alpha -11.94-
Beta 6.63-
Kelly Criterion -150.875.76
Profit Factor 0.621.44
Probabilistic Sharpe 13.51%96.8%
Annual Volatility 1142.91%12.32%
Omega 0.62-
Information ratio -0.06-
Avg Drawdown -54.1%-1.31%
Avg Drawdown Days 969
Avg Up Month 129.262.67
Avg Down Month -147.16%-0.62%
R^2 0.010.01
Calmar -0.323.39
Treynor -23.47-

Next steps

  • Make it yours Clone opens this definition in the Job Editor, to change and run it.

Sign in to open the Position Monitor, StatSim and the AI Assistant for this backtest.