Name | [NetZero] / NetZero-2021 |
Period | 2021-01-04 - 2021-12-30 |
Version | MesoSim-2.5.0-0-gaa0ecb4 |
Symbol | SPX |
Cash | $10000 |
Structure | Broken Wing Butterfly |
Max number of positions in flight | 4 |
Expirations | 1 |
Legs | 3 |
Metric | Strategy | SPX |
---|---|---|
Trade Count | 47 | 1 |
Win/Loss rate | 20 / 27 = 0.74 | |
Adjustments | 0 | |
PT Hits | 0 | |
SL Hits | 0 | |
Max DIT Reaches | 32 | |
Settlements | 0 | |
Avg Days in Trade | 26.02 | 360 |
Cumulative Return | -28.28% | 29.93% |
CAGR | -28.61% | 30.41% |
Max Drawdown | -67.24% | -5.43% |
Sharpe | 0.04 | 2.08 |
Alpha | -0.54 | - |
Beta | 2.11 | - |
Kelly Criterion | -18.8 | -1.24 |
Profit Factor | 1.01 | 1.43 |
Probabilistic Sharpe | 51.46% | 97.69% |
Smart Sharpe | 0.03 | 1.77 |
Annual Volatility | 84.03% | 13.14% |
Omega | 1.01 | - |
Information ratio | -0.02 | - |
Avg Drawdown | -13.86% | -1.25% |
Avg Drawdown Days | 37 | 8 |
Avg Up Month | 16.6500 | 2.9600 |
Avg Down Month | -34.69% | -1.34% |
R^2 | 0.11 | 0.11 |
Calmar | -0.43 | 5.6 |
Treynor | -13.43 | - |