- Strategy Overview
- Position Monitor
- Full Tearsheet
- Analytics
- Margin Report
- Events
- Strategy Definition
| Name | NetZero-Inverted-Adjusting / fullperiod |
| Period | 2020-06-01 - 2024-10-25 |
| Version | MesoSim-2.11.65-0-g16fd513e |
| Symbol | SPX |
| Cash | |
| 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 | - |