Name | [NetZero] / NetZero-RUT-2022 |
Period | 2022-01-03 - 2022-12-30 |
Version | MesoSim-2.7.0-0-ge13f90a |
Symbol | RUT |
Cash | $10000 |
Structure | Broken Wing Butterfly |
Max number of positions in flight | 4 |
Expirations | 1 |
Legs | 3 |
Metric | Strategy | RUT |
---|---|---|
Trade Count | 67 | 1 |
Win/Loss rate | 39 / 28 = 1.39 | |
Adjustments | 0 | |
PT Hits | 0 | |
SL Hits | 0 | |
Max DIT Reaches | 10 | |
Settlements | 0 | |
Avg Days in Trade | 16.01 | 361 |
Cumulative Return | 87.71% | -22.67% |
CAGR | 89.02% | -22.89% |
Max Drawdown | -19.65% | -27.26% |
Sharpe | 1.76 | -0.79 |
Alpha | 0.62 | - |
Beta | -0.44 | - |
Kelly Criterion | 11.92 | -31.02 |
Profit Factor | 1.37 | 0.88 |
Probabilistic Sharpe | 95.36% | 21.59% |
Smart Sharpe | 1.69 | -0.75 |
Annual Volatility | 40.41% | 27.77% |
Omega | 1.37 | - |
Information ratio | 0.11 | - |
Avg Drawdown | -5.16% | -27.26% |
Avg Drawdown Days | 14 | 360 |
Avg Up Month | 14.4300 | 4.3900 |
Avg Down Month | -3.1% | -5.65% |
R^2 | 0.09 | 0.09 |
Calmar | 4.53 | -0.84 |
Treynor | -200.56 | - |