NetZero-2021

Finished
[NetZero]
SPX 2021-01-04 → 2021-12-30· 1.0 y Broken Wing Butterfly3 legs1 expirationMax positions 4
Finished 23-03-02 12:47Version MesoSim-2.5.0-0-gaa0ecb4
Cumulative Return help -28.28% SPX 29.93%
CAGR help -28.61% SPX 30.41%
Win/Loss rate 0.7420 wins / 27 losses
Trade Count 47Avg Days in Trade 26.02
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 471
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 26.02360
Performance
Cumulative Return -28.28%29.93%
CAGR -28.61%30.41%
Max Drawdown
from Peak		 -67.24%-5.43%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 0.042.08
Alpha -0.54-
Beta 2.11-
Kelly Criterion -18.8-1.24
Profit Factor 1.011.43
Probabilistic Sharpe 51.46%97.69%
Annual Volatility 84.03%13.14%
Omega 1.01-
Information ratio -0.02-
Avg Drawdown -13.86%-1.25%
Avg Drawdown Days 378
Avg Up Month 16.652.96
Avg Down Month -34.69%-1.34%
R^2 0.110.11
Calmar -0.435.6
Treynor -13.43-

Next steps

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