| Strategy | NetZero-opt-OOS-2024 / opt-20-58-29 | Symbol | SPX | Max positions | 4 |
|---|---|---|---|---|---|
| Period | 2024-01-02 to 2024-10-25 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.11.65-0-g16fd513e | Structure | Broken Wing Butterfly | Legs | 3 |
| Strategy | NetZero-opt-OOS-2024 / opt-20-58-29 |
|---|---|
| Symbol | SPX |
| Max positions | 4 |
| Period | 2024-01-02 to 2024-10-25 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.11.65-0-g16fd513e |
| Structure | Broken Wing Butterfly |
| Legs | 3 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 78 | 1 |
| Win/Loss rate | 42 / 36 = 1.17 | - |
| Adjustments | 0 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 0 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 5.05 | 297 |
| Cumulative Return | 8.67% | 22.99% |
| CAGR | 10.76% | 28.96% |
| Max Drawdown from Peak |
-67.87% | -8.54% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 0.76 | 2.11 |
| Alpha | 0.97 | - |
| Beta | 0.01 | - |
| Kelly Criterion | -18.24 | -35.79 |
| Profit Factor | 1.18 | 1.44 |
| Probabilistic Sharpe | 75% | 96.8% |
| Annual Volatility | 127.63% | 12.32% |
| Omega | 1.18 | - |
| Information ratio | 0.03 | - |
| Avg Drawdown | -31.48% | -1.31% |
| Avg Drawdown Days | 72 | 9 |
| Avg Up Month | 15.82 | 2.71 |
| Avg Down Month | -22.18% | -0.62% |
| R^2 | 0 | 0 |
| Calmar | 0.16 | 3.39 |
| Treynor | 765.9 | - |