NetZero-RUT-2022

Finished
[NetZero]
RUT 2022-01-03 → 2022-12-30· 1.0 y Broken Wing Butterfly3 legs1 expirationMax positions 4
Finished 23-04-23 11:24Version MesoSim-2.7.0-0-ge13f90a
Cumulative Return help 87.71% RUT -22.67%
CAGR help 89.02% RUT -22.89%
Win/Loss rate 1.3939 wins / 28 losses
Trade Count 67Avg Days in Trade 16.01
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. Drawdown is measured on every NAV row. Click a legend entry to hide its series.

Risk Graph at first entry

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Statistics

Metric StrategyRUT
Trades
Trade Count 671
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 16.01361
Performance
Cumulative Return 87.71%-22.67%
CAGR 89.02%-22.89%
Max Drawdown
from Peak		 -19.65%-27.26%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 1.76-0.79
Alpha 0.62-
Beta -0.44-
Kelly Criterion 11.92-31.02
Profit Factor 1.370.88
Probabilistic Sharpe 95.36%21.59%
Annual Volatility 40.41%27.77%
Omega 1.37-
Information ratio 0.11-
Avg Drawdown -5.16%-27.26%
Avg Drawdown Days 14360
Avg Up Month 14.434.39
Avg Down Month -3.1%-5.65%
R^2 0.090.09
Calmar 4.53-0.84
Treynor -200.56-

Next steps

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