Name | [NetZero] / NetZero-DeltaRay |
Period | 2012-01-03 - 2022-12-30 |
Version | MesoSim-2.4.1-0-g2e90ec5 |
Symbol | SPX |
Cash | $10000 |
Structure | Broken Wing Butterfly |
Max number of positions in flight | 4 |
Expirations | 1 |
Legs | 3 |
Metric | Strategy | SPX |
---|---|---|
Trade Count | 662 | 1 |
Win/Loss rate | 403 / 259 = 1.56 | |
Adjustments | 0 | |
PT Hits | 0 | |
SL Hits | 0 | |
Max DIT Reaches | 172 | |
Settlements | 0 | |
Avg Days in Trade | 19.75 | 4014 |
Cumulative Return | 649.24% | 198.05% |
CAGR | 20.1% | 10.44% |
Max Drawdown | -29.94% | -32.79% |
Sharpe | 1.32 | 0.71 |
Alpha | 0.2 | - |
Beta | -0.02 | - |
Kelly Criterion | 3.2 | -19.88 |
Profit Factor | 1.35 | 1.14 |
Probabilistic Sharpe | 100% | 99.01% |
Smart Sharpe | 1.23 | 0.67 |
Annual Volatility | 14.65% | 15.68% |
Omega | 1.35 | - |
Information ratio | 0.02 | - |
Avg Drawdown | -1.47% | -1.68% |
Avg Drawdown Days | 17 | 17 |
Avg Up Month | 2.3900 | 3.2600 |
Avg Down Month | -3.11% | -5.48% |
R^2 | 0 | 0 |
Calmar | 0.67 | 0.32 |
Treynor | -37496.77 | - |