fullperiod

Finished
NetZero-Inverted-Adjusting
SPX 2020-06-01 → 2024-10-25· 4.4 y Broken Wing Butterfly3 legs1 expirationMax positions 4
Finished 24-10-27 09:58Version MesoSim-2.11.65-0-g16fd513e
Cumulative Return help -259.13% SPX 90.08%
CAGR help 11.13% SPX 15.71%
Win/Loss rate 0.92124 wins / 135 losses
Trade Count 259Avg Days in Trade 20.86
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. A series that closes at zero or below is shifted up by its lowest value first. Drawdown is measured on every NAV row. Click a legend entry to hide its series.

Risk Graph at first entry

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Statistics

Metric StrategySPX
Trades
Trade Count 2591
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
Performance
Cumulative Return -259.13%90.08%
CAGR 11.13%15.71%
Max Drawdown
from Peak		 -346.93%-25.39%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe -0.490.95
Alpha -4.99-
Beta 2.57-
Kelly Criterion -43.59-11
Profit Factor 0.771.18
Probabilistic Sharpe 13.03%97.5%
Annual Volatility 939.4%16.9%
Omega 0.77-
Information ratio -0.03-
Avg Drawdown -116.11%-1.71%
Avg Drawdown Days 53319
Avg Up Month 113.63.81
Avg Down Month -31.29%-3.59%
R^2 00
Calmar 0.030.62
Treynor -100.85-

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