Name[NetZero] / NetZero-Baseline
Period2020-06-01 - 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 20.591607
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 -
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