WoodDingo

Finished
[NetZero]
SPX 2023-01-03 → 2023-08-30· 0.7 y Broken Wing Butterfly3 legs1 expirationMax positions 4
Finished 23-10-25 07:08Version MesoSim-2.10.22-0-g58f48da
Cumulative Return help 33.87% SPX 18.21%
CAGR help 56.13% SPX 29.1%
Win/Loss rate 1.3822 wins / 16 losses
Trade Count 38Avg Days in Trade 21.37
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 381
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 21.37239
Performance
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/AN/A
Sharpe 1.031.99
Alpha 1.16-
Beta -1.95-
Kelly Criterion 3.3-33.88
Profit Factor 1.191.37
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 3111
Avg Up Month 24.861.19
Avg Down Month N/AN/A
R^2 0.170.17
Calmar 1.854.01
Treynor -17.33-

Next steps

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