| Strategy | [NetZero] / NetZero-2022 | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2022-01-03 to 2022-12-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.4.0-0-g6ed4d42 | Structure | Broken Wing Butterfly | Legs | 3 |
| Strategy | [NetZero] / NetZero-2022 |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2022-01-03 to 2022-12-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.4.0-0-g6ed4d42 |
| Structure | Broken Wing Butterfly |
| Legs | 3 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 18 | 1 |
| Win/Loss rate | 14 / 4 = 3.5 | - |
| Adjustments | 0 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 6 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 17.89 | 361 |
| Cumulative Return | 84.19% | -20.33% |
| CAGR | 85.44% | -20.53% |
| Max Drawdown from Peak |
-9.54% | -25.39% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 3.06 | -0.85 |
| Alpha | 0.62 | - |
| Beta | -0.07 | - |
| Kelly Criterion | 16.98 | -27.53 |
| Profit Factor | 1.71 | 0.87 |
| Probabilistic Sharpe | 99.87% | 19.89% |
| Annual Volatility | 20.79% | 23.62% |
| Omega | 1.71 | - |
| Information ratio | 0.16 | - |
| Avg Drawdown | -1.85% | -25.39% |
| Avg Drawdown Days | 8 | 360 |
| Avg Up Month | 4.93 | 5.83 |
| Avg Down Month | -5.48% | -4.25% |
| R^2 | 0.01 | 0.01 |
| Calmar | 8.95 | -0.81 |
| Treynor | -1232.25 | - |