NetZero-2022

Finished
[NetZero]
SPX 2022-01-03 → 2022-12-30· 1.0 y Broken Wing Butterfly3 legs1 expirationMax positions 4
Finished 23-03-03 12:47Version MesoSim-2.5.0-0-gaa0ecb4
Cumulative Return help 154.08% SPX -20.33%
CAGR help 156.72% SPX -20.53%
Win/Loss rate 1.1636 wins / 31 losses
Trade Count 67Avg Days in Trade 15.39
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.

Risk Graph at first entry

Please sign in to see the Risk Graph at first entry.

Statistics

Metric StrategySPX
Trades
Trade Count 671
Win/Loss rate 36 / 31 = 1.16-
Adjustments 0-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 11-
Settlements 0-
Avg Days in Trade 15.39361
Performance
Cumulative Return 154.08%-20.33%
CAGR 156.72%-20.53%
Max Drawdown
from Peak		 -17.58%-25.39%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 2.28-0.85
Alpha 0.98-
Beta -0.36-
Kelly Criterion 9.02-33.36
Profit Factor 1.480.87
Probabilistic Sharpe 98.54%19.97%
Annual Volatility 46.35%23.82%
Omega 1.48-
Information ratio 0.14-
Avg Drawdown -8.62%-25.39%
Avg Drawdown Days 22360
Avg Up Month 5.615.83
Avg Down Month -4.03%-6.5%
R^2 0.030.03
Calmar 8.92-0.81
Treynor -429.12-

Next steps

  • Make it yours Clone opens this definition in the Job Editor, to change and run it.

Sign in to open the Position Monitor, StatSim and the AI Assistant for this backtest.