NetZero-Mosley

Finished
[NetZero]
SPX 2012-01-03 → 2022-12-30· 11.0 y Broken Wing Butterfly3 legs1 expirationMax positions 4
Finished 23-03-06 19:32Version MesoSim-2.4.1-0-g2e90ec5
Cumulative Return help 632.38% SPX 198.05%
CAGR help 19.85% SPX 10.44%
Win/Loss rate 1.26357 wins / 283 losses
Trade Count 640Avg Days in Trade 19.8
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. Drawdown is the strategy's, from its peak on every NAV row; click SPX drawdown to compare. Click a legend entry to hide its series.

Risk Graph at first entry

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Statistics

Metric StrategySPX
Trades
Trade Count 6401
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 19.84014
Performance
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/AN/A
Sharpe 1.160.71
Alpha 0.2-
Beta -0.05-
Kelly Criterion 2.05-23.18
Profit Factor 1.311.14
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 2317
Avg Up Month 2.523.02
Avg Down Month -3.06%-4.69%
R^2 00
Calmar 0.590.32
Treynor -12785.37-

Next steps

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