Name | [NetZero] / NetZero-2022 |
Period | 2022-01-03 - 2022-12-30 |
Version | MesoSim-2.4.0-0-g6ed4d42 |
Symbol | SPX |
Cash | $10000 |
Structure | Broken Wing Butterfly |
Max number of positions in flight | 1 |
Expirations | 1 |
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 | -9.54% | -25.39% |
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% |
Smart Sharpe | 2.8 | -0.78 |
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 | 4.9300 | 5.8300 |
Avg Down Month | -5.48% | -4.25% |
R^2 | 0.01 | 0.01 |
Calmar | 8.95 | -0.81 |
Treynor | -1232.25 | - |