Name | [NetZero] / NetZero-Baseline |
Period | 2020-06-01 - 2024-10-25 |
Version | MesoSim-2.11.65-0-g16fd513e |
Symbol | SPX |
Cash | $10000 |
Structure | Broken Wing Butterfly |
Max number of positions in flight | 4 |
Expirations | 1 |
Legs | 3 |
Metric | Strategy | SPX |
---|---|---|
Trade Count | 263 | 1 |
Win/Loss rate | 122 / 141 = 0.87 | |
Adjustments | 0 | |
PT Hits | 0 | |
SL Hits | 0 | |
Max DIT Reaches | 102 | |
Settlements | 0 | |
Avg Days in Trade | 20.59 | 1607 |
Cumulative Return | 102.4% | 90.08% |
CAGR | 17.37% | 15.71% |
Max Drawdown | -57.85% | -25.39% |
Sharpe | 0.58 | 0.95 |
Alpha | 0.27 | - |
Beta | 0.04 | - |
Kelly Criterion | -5.92 | -22.56 |
Profit Factor | 1.13 | 1.18 |
Probabilistic Sharpe | 88.29% | 97.5% |
Smart Sharpe | 0.56 | 0.91 |
Annual Volatility | 47.77% | 16.9% |
Omega | 1.13 | - |
Information ratio | 0.01 | - |
Avg Drawdown | -10.62% | -1.71% |
Avg Drawdown Days | 44 | 19 |
Avg Up Month | 7.8100 | 4.0400 |
Avg Down Month | -9.29% | -3.32% |
R^2 | 0 | 0 |
Calmar | 0.3 | 0.62 |
Treynor | 2413.12 | - |