| Strategy | NetZero-Inverted-Adjusting / 2024 | 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-Inverted-Adjusting / 2024 |
|---|---|
| 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 | 43 | 1 |
| 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 | 23.4 | 297 |
| 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/A | N/A |
| Sharpe | 2.67 | 2.11 |
| Alpha | 1.01 | - |
| Beta | 0.79 | - |
| Kelly Criterion | 17.25 | 30.12 |
| Profit Factor | 1.68 | 1.44 |
| 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 | 9 | 9 |
| Avg Up Month | 12.31 | 3.55 |
| Avg Down Month | N/A | N/A |
| R^2 | 0.05 | 0.05 |
| Calmar | 20.83 | 3.39 |
| Treynor | 190.26 | - |