| Strategy | [BTCUSD-Butterfly] / BTCUSD-Butterfly-2022 | Symbol | BTCUSD | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2021-12-31 to 2022-12-29 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.5.0-0-gaa0ecb4 | Structure | Broken Wing Butterfly (BWB) | Legs | 3 |
| Strategy | [BTCUSD-Butterfly] / BTCUSD-Butterfly-2022 |
|---|---|
| Symbol | BTCUSD |
| Max positions | 1 |
| Period | 2021-12-31 to 2022-12-29 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.5.0-0-gaa0ecb4 |
| Structure | Broken Wing Butterfly (BWB) |
| 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 | 9.88 | 363 |
| Cumulative Return | -0.31% | -64.13% |
| CAGR | -0.31% | -64.33% |
| Max Drawdown from Peak |
-3.19% | -66.94% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| 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% |
| 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 | 0.52 | 13.12 |
| Avg Down Month | -0.87% | -17.58% |
| R^2 | 0.07 | 0.07 |
| Calmar | -0.1 | -0.96 |
| Treynor | -17.03 | - |