NetZero-2022
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Strategy:
[NetZero]
SPXdate_range
Period:
2022-01-03 → 2022-12-30· 1.0 ystacked_line_chart
Structure:
Broken Wing Butterflyformat_list_bulleted3 legsevent1 expirationlayersMax positions 1
Finished
23-02-19 12:46Version
MesoSim-2.4.0-0-g6ed4d42
Cumulative Return help
84.19%
SPX -20.33%
CAGR help
85.44%
SPX -20.53%
Win/Loss rate
3.514 wins / 4 losses
Trade Count
18Avg Days in Trade 17.89
info
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. Drawdown is the strategy's, from its peak on every NAV row; click SPX drawdown to compare. Click a legend entry to hide its series.
area_chartRisk Graph at first entry
table_chartStatistics
| Metric | Strategy | SPX |
|---|---|---|
| Trades | ||
| 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 |
| Performance | ||
| 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 | - |