| Name | [NetZero] / NetZero-RUT-2022 |
| Period | 2022-01-03 - 2022-12-30 |
| Version | MesoSim-2.7.0-0-ge13f90a |
| Symbol | RUT |
| Cash | $10000 |
| Structure | Broken Wing Butterfly |
| Max number of positions in flight | 4 |
| Expirations | 1 |
| Legs | 3 |
| Metric | Strategy | RUT |
|---|---|---|
| Trade Count | 67 | 1 |
| Win/Loss rate | 39 / 28 = 1.39 | |
| Adjustments | 0 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 10 | |
| Settlements | 0 | |
| Avg Days in Trade | 16.01 | 361 |
| Cumulative Return | 87.71% | -22.67% |
| CAGR | 89.02% | -22.89% |
| Max Drawdown | -19.65% | -27.26% |
| Sharpe | 1.76 | -0.79 |
| Alpha | 0.62 | - |
| Beta | -0.44 | - |
| Kelly Criterion | 11.92 | -31.02 |
| Profit Factor | 1.37 | 0.88 |
| Probabilistic Sharpe | 95.36% | 21.59% |
| Smart Sharpe | 1.69 | -0.75 |
| Annual Volatility | 40.41% | 27.77% |
| Omega | 1.37 | - |
| Information ratio | 0.11 | - |
| Avg Drawdown | -5.16% | -27.26% |
| Avg Drawdown Days | 14 | 360 |
| Avg Up Month | 14.4300 | 4.3900 |
| Avg Down Month | -3.1% | -5.65% |
| R^2 | 0.09 | 0.09 |
| Calmar | 4.53 | -0.84 |
| Treynor | -200.56 | - |