NetZero-Baseline

Finished
[NetZero]
SPX 2020-06-01 → 2024-10-25· 4.4 y Broken Wing Butterfly3 legs1 expirationMax positions 4
Finished 24-10-27 09:32Version MesoSim-2.11.65-0-g16fd513e
Cumulative Return help 102.4% SPX 90.08%
CAGR help 17.37% SPX 15.71%
Win/Loss rate 0.87122 wins / 141 losses
Trade Count 263Avg Days in Trade 20.59
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 SPX drawdown to compare. Click a legend entry to hide its series.

Risk Graph at first entry

Please sign in to see the Risk Graph at first entry.

Statistics

Metric StrategySPX
Trades
Trade Count 2631
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
Performance
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/AN/A
Sharpe 0.580.95
Alpha 0.27-
Beta 0.04-
Kelly Criterion -5.92-22.56
Profit Factor 1.131.18
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 4419
Avg Up Month 7.814.04
Avg Down Month -9.29%-3.32%
R^2 00
Calmar 0.30.62
Treynor 2413.12-

Next steps

  • Make it yours Clone opens this definition in the Job Editor, to change and run it.

Sign in to open the Position Monitor, StatSim and the AI Assistant for this backtest.