| Name | Portfolio-Opt / NetZero-compounding |
| Period | 2020-07-01 - 2024-06-28 |
| Version | MesoSim-2.11.39-0-g895393d |
| Symbol | SPX |
| Cash | $20000 |
| Structure | Broken Wing Butterfly |
| Max number of positions in flight | 4 |
| Expirations | 1 |
| Legs | 3 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 245 | 1 |
| 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 | 19.71 | 1458 |
| Cumulative Return | 71.8% | 75.43% |
| CAGR | 14.51% | 15.11% |
| Max Drawdown | -39.89% | -25.39% |
| Sharpe | 0.6 | 0.92 |
| Alpha | 0.2 | - |
| Beta | -0.14 | - |
| Kelly Criterion | 0.06 | -11.89 |
| Profit Factor | 1.09 | 1.14 |
| Probabilistic Sharpe | 88.14% | 96.66% |
| Smart Sharpe | 0.57 | 0.88 |
| Annual Volatility | 30.43% | 16.78% |
| Omega | 1.09 | - |
| Information ratio | 0 | - |
| Avg Drawdown | -3.95% | -1.12% |
| Avg Drawdown Days | 22 | 12 |
| Avg Up Month | 5.0800 | 4.0700 |
| Avg Down Month | -5.29% | -3.35% |
| R^2 | 0.01 | 0.01 |
| Calmar | 0.36 | 0.6 |
| Treynor | -524.56 | - |