- Strategy Overview
- Position Monitor
- Full Tearsheet
- Analytics
- Margin Report
- Events
- Strategy Definition
| Name | NetZero-opt / opt-20-58-29 |
| Period | 2023-01-03 - 2023-12-29 |
| 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 | 93 | 1 |
| Win/Loss rate | 58 / 35 = 1.66 | |
| Adjustments | 0 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 0 | |
| Settlements | 0 | |
| Avg Days in Trade | 5.05 | 360 |
| Cumulative Return | 214.72% | 25.07% |
| CAGR | 219.77% | 25.46% |
| Max Drawdown | -17.22% | -10.13% |
| Sharpe | 3.25 | 1.83 |
| Alpha | 1.42 | - |
| Beta | -0.82 | - |
| Kelly Criterion | 27.02 | -37.12 |
| Profit Factor | 1.88 | 1.34 |
| Probabilistic Sharpe | 99.95% | 96.63% |
| Smart Sharpe | 3.18 | 1.79 |
| Annual Volatility | 37.84% | 12.8% |
| Omega | 1.88 | - |
| Information ratio | 0.15 | - |
| Avg Drawdown | -3.33% | -1.64% |
| Avg Drawdown Days | 9 | 14 |
| Avg Up Month | 13.9800 | 3.1900 |
| Avg Down Month | ||
| R^2 | 0.08 | 0.08 |
| Calmar | 12.76 | 2.51 |
| Treynor | -263.41 | - |