NetZero-RUT-2021

Finished
[NetZero]
RUT 2021-01-04 → 2021-12-30· 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 104.78% RUT 16.12%
CAGR help 106.82% RUT 16.36%
Win/Loss rate 1.6436 wins / 22 losses
Trade Count 58Avg Days in Trade 20.64
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 RUT drawdown to compare. Click a legend entry to hide its series.

Risk Graph at first entry

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Statistics

Metric StrategyRUT
Trades
Trade Count 581
Win/Loss rate 36 / 22 = 1.64-
Adjustments 0-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 20-
Settlements 0-
Avg Days in Trade 20.64360
Performance
Cumulative Return 104.78%16.12%
CAGR 106.82%16.36%
Max Drawdown
from Peak		 -27.42%-12.15%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 1.570.82
Alpha 1-
Beta -0.7-
Kelly Criterion 3.49-34.32
Profit Factor 1.311.14
Probabilistic Sharpe 93.86%79.12%
Annual Volatility 56.04%21.13%
Omega 1.31-
Information ratio 0.07-
Avg Drawdown -5.81%-5.27%
Avg Drawdown Days 1142
Avg Up Month 16.013.39
Avg Down Month -0.75%-8.1%
R^2 0.070.07
Calmar 3.91.35
Treynor -149.92-

Next steps

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