Name | NetZero-Inverted-Adjusting / fullperiod |
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 | 259 | 1 |
Win/Loss rate | 124 / 135 = 0.92 | |
Adjustments | 95 | |
PT Hits | 0 | |
SL Hits | 0 | |
Max DIT Reaches | 115 | |
Settlements | 0 | |
Avg Days in Trade | 20.86 | 1607 |
Cumulative Return | -259.13% | 90.08% |
CAGR | 11.13% | 15.71% |
Max Drawdown | -346.93% | -25.39% |
Sharpe | -0.49 | 0.95 |
Alpha | -4.99 | - |
Beta | 2.57 | - |
Kelly Criterion | -43.59 | -11 |
Profit Factor | 0.77 | 1.18 |
Probabilistic Sharpe | 13.03% | 97.5% |
Smart Sharpe | -0.45 | 0.88 |
Annual Volatility | 939.4% | 16.9% |
Omega | 0.77 | - |
Information ratio | -0.03 | - |
Avg Drawdown | -116.11% | -1.71% |
Avg Drawdown Days | 533 | 19 |
Avg Up Month | 113.6000 | 3.8100 |
Avg Down Month | -31.29% | -3.59% |
R^2 | 0 | 0 |
Calmar | 0.03 | 0.62 |
Treynor | -100.85 | - |