| Name | [NetZero] / NetZero-orig-2023 |
| Period | 2023-01-03 - 2023-12-29 |
| Version | MesoSim-2.11.65-0-g16fd513e |
| Symbol | SPX |
| Cash | $10000 |
| Structure | Broken Wing Butterfly |
| Max number of positions in flight | 4 |
| Expirations | 1 |
| Legs | 3 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 60 | 1 |
| Win/Loss rate | 30 / 30 = 1 | |
| Adjustments | 0 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 14 | |
| Settlements | 0 | |
| Avg Days in Trade | 19.13 | 360 |
| Cumulative Return | 34.16% | 25.07% |
| CAGR | 34.71% | 25.46% |
| Max Drawdown | -30.35% | -10.13% |
| Sharpe | 0.81 | 1.83 |
| Alpha | 0.88 | - |
| Beta | -1.79 | - |
| Kelly Criterion | 4.76 | -38.5 |
| Profit Factor | 1.15 | 1.34 |
| Probabilistic Sharpe | 78.58% | 96.63% |
| Smart Sharpe | 0.78 | 1.76 |
| Annual Volatility | 56.49% | 12.8% |
| Omega | 1.15 | - |
| Information ratio | 0.02 | - |
| Avg Drawdown | -9.32% | -1.64% |
| Avg Drawdown Days | 27 | 14 |
| Avg Up Month | 24.8400 | 1.2000 |
| Avg Down Month | ||
| R^2 | 0.16 | 0.16 |
| Calmar | 1.14 | 2.51 |
| Treynor | -19.1 | - |