Name | [NetZero] / NetZero-2022 |
Period | 2022-01-03 - 2022-12-30 |
Version | MesoSim-2.5.0-0-gaa0ecb4 |
Symbol | SPX |
Cash | $10000 |
Structure | Broken Wing Butterfly |
Max number of positions in flight | 4 |
Expirations | 1 |
Legs | 3 |
Metric | Strategy | SPX |
---|---|---|
Trade Count | 67 | 1 |
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 | 15.39 | 361 |
Cumulative Return | 154.08% | -20.33% |
CAGR | 156.72% | -20.53% |
Max Drawdown | -17.58% | -25.39% |
Sharpe | 2.28 | -0.85 |
Alpha | 0.98 | - |
Beta | -0.36 | - |
Kelly Criterion | 9.02 | -33.36 |
Profit Factor | 1.48 | 0.87 |
Probabilistic Sharpe | 98.54% | 19.97% |
Smart Sharpe | 2.13 | -0.79 |
Annual Volatility | 46.35% | 23.82% |
Omega | 1.48 | - |
Information ratio | 0.14 | - |
Avg Drawdown | -8.62% | -25.39% |
Avg Drawdown Days | 22 | 360 |
Avg Up Month | 5.6100 | 5.8300 |
Avg Down Month | -4.03% | -6.5% |
R^2 | 0.03 | 0.03 |
Calmar | 8.92 | -0.81 |
Treynor | -429.12 | - |