2024

Finished
NetZero-Inverted-Adjusting
SPX 2024-01-02 → 2024-10-25· 0.8 y Broken Wing Butterfly3 legs1 expirationMax positions 4
Finished 24-10-27 09:58Version MesoSim-2.11.65-0-g16fd513e
Cumulative Return help 149.86% SPX 22.99%
CAGR help 208.14% SPX 28.96%
Win/Loss rate 4.3835 wins / 8 losses
Trade Count 43Avg Days in Trade 23.4
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 431
Win/Loss rate 35 / 8 = 4.38-
Adjustments 13-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 20-
Settlements 0-
Avg Days in Trade 23.4297
Performance
Cumulative Return 149.86%22.99%
CAGR 208.14%28.96%
Max Drawdown
from Peak		 -9.99%-8.54%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 2.672.11
Alpha 1.01-
Beta 0.79-
Kelly Criterion 17.2530.12
Profit Factor 1.681.44
Probabilistic Sharpe 99.78%96.8%
Annual Volatility 45.49%12.32%
Omega 1.68-
Information ratio 0.14-
Avg Drawdown -4.27%-1.31%
Avg Drawdown Days 99
Avg Up Month 12.313.55
Avg Down Month N/AN/A
R^2 0.050.05
Calmar 20.833.39
Treynor 190.26-

Next steps

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