| Strategy | [NetZero] / NetZero-Baseline | Symbol | SPX | Max positions | 4 |
|---|---|---|---|---|---|
| Period | 2020-06-01 to 2024-10-25 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.11.65-0-g16fd513e | Structure | Broken Wing Butterfly | Legs | 3 |
| Strategy | [NetZero] / NetZero-Baseline |
|---|---|
| Symbol | SPX |
| Max positions | 4 |
| Period | 2020-06-01 to 2024-10-25 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.11.65-0-g16fd513e |
| Structure | Broken Wing Butterfly |
| 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 from Peak |
-57.85% | -25.39% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| 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% |
| 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 | 7.81 | 4.04 |
| Avg Down Month | -9.29% | -3.32% |
| R^2 | 0 | 0 |
| Calmar | 0.3 | 0.62 |
| Treynor | 2413.12 | - |