NameNetZero-Inverted-Adjusting / fullperiod
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 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 20.861607
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 -
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