opt-20-58-29

Finished
NetZero-opt
SPX 2023-01-03 → 2023-12-29· 1.0 y Broken Wing Butterfly3 legs1 expirationMax positions 4
Finished 24-10-27 06:05Version MesoSim-2.11.65-0-g16fd513e
Cumulative Return help 214.72% SPX 25.07%
CAGR help 219.77% SPX 25.46%
Win/Loss rate 1.6658 wins / 35 losses
Trade Count 93Avg Days in Trade 5.05
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. 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 931
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 5.05360
Performance
Cumulative Return 214.72%25.07%
CAGR 219.77%25.46%
Max Drawdown
from Peak		 -17.22%-10.13%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 3.251.83
Alpha 1.42-
Beta -0.82-
Kelly Criterion 27.02-37.12
Profit Factor 1.881.34
Probabilistic Sharpe 99.95%96.63%
Annual Volatility 37.84%12.8%
Omega 1.88-
Information ratio 0.15-
Avg Drawdown -3.33%-1.64%
Avg Drawdown Days 914
Avg Up Month 13.983.19
Avg Down Month N/AN/A
R^2 0.080.08
Calmar 12.762.51
Treynor -263.41-

Next steps

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