NetZero-orig-2023

Finished
[NetZero]
SPX 2023-01-03 → 2023-12-29· 1.0 y Broken Wing Butterfly3 legs1 expirationMax positions 4
Finished 24-10-27 09:45Version MesoSim-2.11.65-0-g16fd513e
Cumulative Return help 34.16% SPX 25.07%
CAGR help 34.71% SPX 25.46%
Win/Loss rate 130 wins / 30 losses
Trade Count 60Avg Days in Trade 19.13
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 601
Win/Loss rate 30 / 30 = 1-
Adjustments 0-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 14-
Settlements 0-
Avg Days in Trade 19.13360
Performance
Cumulative Return 34.16%25.07%
CAGR 34.71%25.46%
Max Drawdown
from Peak		 -30.35%-10.13%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 0.811.83
Alpha 0.88-
Beta -1.79-
Kelly Criterion 4.76-38.5
Profit Factor 1.151.34
Probabilistic Sharpe 78.58%96.63%
Annual Volatility 56.49%12.8%
Omega 1.15-
Information ratio 0.02-
Avg Drawdown -9.32%-1.64%
Avg Drawdown Days 2714
Avg Up Month 24.841.2
Avg Down Month N/AN/A
R^2 0.160.16
Calmar 1.142.51
Treynor -19.1-

Next steps

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