| Strategy | [NetZero] / WoodDingo | Symbol | SPX | Max positions | 4 |
|---|---|---|---|---|---|
| Period | 2023-01-03 to 2023-08-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.10.22-0-g58f48da | Structure | Broken Wing Butterfly | Legs | 3 |
| Strategy | [NetZero] / WoodDingo |
|---|---|
| Symbol | SPX |
| Max positions | 4 |
| Period | 2023-01-03 to 2023-08-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.10.22-0-g58f48da |
| Structure | Broken Wing Butterfly |
| Legs | 3 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 38 | 1 |
| Win/Loss rate | 22 / 16 = 1.38 | - |
| Adjustments | 521 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 13 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 21.37 | 239 |
| Cumulative Return | 33.87% | 18.21% |
| CAGR | 56.13% | 29.1% |
| Max Drawdown from Peak |
-30.32% | -7.26% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 1.03 | 1.99 |
| Alpha | 1.16 | - |
| Beta | -1.95 | - |
| Kelly Criterion | 3.3 | -33.88 |
| Profit Factor | 1.19 | 1.37 |
| Probabilistic Sharpe | 79.1% | 94.84% |
| Annual Volatility | 62.63% | 13.19% |
| Omega | 1.19 | - |
| Information ratio | 0.03 | - |
| Avg Drawdown | -9.23% | -1.5% |
| Avg Drawdown Days | 31 | 11 |
| Avg Up Month | 24.86 | 1.19 |
| Avg Down Month | N/A | N/A |
| R^2 | 0.17 | 0.17 |
| Calmar | 1.85 | 4.01 |
| Treynor | -17.33 | - |