Name[BTCUSD-Butterfly] / BTCUSD-Butterfly-2022
Period2021-12-31 - 2022-12-29
Version MesoSim-2.5.0-0-gaa0ecb4
Symbol BTCUSD
Cash 1.000
Structure Broken Wing Butterfly (BWB)
Max number of positions in flight 1
Expirations 1
Legs 3
Metric Strategy BTCUSD
Trade Count 16 1
Win/Loss rate 8 / 8 = 1
Adjustments 0
PT Hits 0
SL Hits 0
Max DIT Reaches 6
Settlements 0
Avg Days in Trade 9.88363
Cumulative Return -0.31% -64.13%
CAGR -0.31% -64.33%
Max Drawdown -3.19% -66.94%
Sharpe -0.04 -1.09
Alpha 0.01 -
Beta 0.02 -
Kelly Criterion -3.31 -28.79
Profit Factor 0.99 0.81
Probabilistic Sharpe 48.02% 9.43%
Smart Sharpe -0.04 -0.98
Annual Volatility 3.63% 52.6%
Omega 0.99 -
Information ratio 0.07 -
Avg Drawdown -0.71% -46.72%
Avg Drawdown Days 28 180
Avg Up Month 0.5200 13.1200
Avg Down Month -0.87% -17.58%
R^2 0.07 0.07
Calmar -0.1 -0.96
Treynor -17.03 -
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