| Strategy | [NetZero] / NetZero-Mosley | Symbol | SPX | Max positions | 4 |
|---|---|---|---|---|---|
| Period | 2012-01-03 to 2022-12-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.4.1-0-g2e90ec5 | Structure | Broken Wing Butterfly | Legs | 3 |
| Strategy | [NetZero] / NetZero-Mosley |
|---|---|
| Symbol | SPX |
| Max positions | 4 |
| Period | 2012-01-03 to 2022-12-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.4.1-0-g2e90ec5 |
| Structure | Broken Wing Butterfly |
| Legs | 3 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 640 | 1 |
| Win/Loss rate | 357 / 283 = 1.26 | - |
| Adjustments | 0 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 0 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 19.8 | 4014 |
| Cumulative Return | 632.38% | 198.05% |
| CAGR | 19.85% | 10.44% |
| Max Drawdown from Peak |
-33.86% | -32.79% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 1.16 | 0.71 |
| Alpha | 0.2 | - |
| Beta | -0.05 | - |
| Kelly Criterion | 2.05 | -23.18 |
| Profit Factor | 1.31 | 1.14 |
| Probabilistic Sharpe | 100% | 99.01% |
| Annual Volatility | 16.79% | 15.68% |
| Omega | 1.31 | - |
| Information ratio | 0.02 | - |
| Avg Drawdown | -1.96% | -1.68% |
| Avg Drawdown Days | 23 | 17 |
| Avg Up Month | 2.52 | 3.02 |
| Avg Down Month | -3.06% | -4.69% |
| R^2 | 0 | 0 |
| Calmar | 0.59 | 0.32 |
| Treynor | -12785.37 | - |