NetZero-compounding

Finished
Portfolio-Opt
SPX 2020-07-01 → 2024-06-28· 4.0 y Broken Wing Butterfly3 legs1 expirationMax positions 4
Finished 24-06-30 17:53Version MesoSim-2.11.39-0-g895393d
Cumulative Return help 71.8% SPX 75.43%
CAGR help 14.51% SPX 15.11%
Win/Loss rate 1.02124 wins / 121 losses
Trade Count 245Avg Days in Trade 19.71
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. Drawdown is measured on every NAV row. Click a legend entry to hide its series.

Risk Graph at first entry

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Statistics

Metric StrategySPX
Trades
Trade Count 2451
Win/Loss rate 124 / 121 = 1.02-
Adjustments 0-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 80-
Settlements 0-
Avg Days in Trade 19.711458
Performance
Cumulative Return 71.8%75.43%
CAGR 14.51%15.11%
Max Drawdown
from Peak		 -39.89%-25.39%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 0.60.92
Alpha 0.2-
Beta -0.14-
Kelly Criterion 0.06-11.89
Profit Factor 1.091.14
Probabilistic Sharpe 88.14%96.66%
Annual Volatility 30.43%16.78%
Omega 1.09-
Information ratio 0-
Avg Drawdown -3.95%-1.12%
Avg Drawdown Days 2212
Avg Up Month 5.084.07
Avg Down Month -5.29%-3.35%
R^2 0.010.01
Calmar 0.360.6
Treynor -524.56-

Next steps

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