Name | [BTCUSD-Butterfly] / BTCUSD-Butterfly-2022 |
Period | 2021-12-31 - 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 | 9.88 | 363 |
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 | - |