2024

Finished
NetZero-Adjusting
SPX 2024-01-02 → 2024-10-25· 0.8 y Broken Wing Butterfly3 legs1 expirationMax positions 4
Finished 24-10-27 09:51Version MesoSim-2.11.65-0-g16fd513e
Cumulative Return help -162.85% SPX 22.99%
CAGR help -43.48% SPX 28.96%
Win/Loss rate 0.238 wins / 35 losses
Trade Count 43Avg Days in Trade 23.4
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. A series that closes at zero or below is shifted up by its lowest value first. 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 431
Win/Loss rate 8 / 35 = 0.23-
Adjustments 13-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 20-
Settlements 0-
Avg Days in Trade 23.4297
Performance
Cumulative Return -162.85%22.99%
CAGR -43.48%28.96%
Max Drawdown
from Peak		 -163.41%-8.54%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe -0.442.11
Alpha -3.14-
Beta -7.37-
Kelly Criterion 18.559.89
Profit Factor 0.811.44
Probabilistic Sharpe 32.5%96.8%
Annual Volatility 1148.3%12.32%
Omega 0.81-
Information ratio -0.03-
Avg Drawdown -55.3%-1.31%
Avg Drawdown Days 969
Avg Up Month 74.152.43
Avg Down Month -164.56%-1.82%
R^2 0.010.01
Calmar -0.273.39
Treynor 22.09-

Next steps

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