| Name | [NetZero] / NetZero-2021 |
| Period | 2021-01-04 - 2021-12-30 |
| 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 | 47 | 1 |
| Win/Loss rate | 20 / 27 = 0.74 | |
| Adjustments | 0 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 32 | |
| Settlements | 0 | |
| Avg Days in Trade | 26.02 | 360 |
| Cumulative Return | -28.28% | 29.93% |
| CAGR | -28.61% | 30.41% |
| Max Drawdown | -67.24% | -5.43% |
| Sharpe | 0.04 | 2.08 |
| Alpha | -0.54 | - |
| Beta | 2.11 | - |
| Kelly Criterion | -18.8 | -1.24 |
| Profit Factor | 1.01 | 1.43 |
| Probabilistic Sharpe | 51.46% | 97.69% |
| Smart Sharpe | 0.03 | 1.77 |
| Annual Volatility | 84.03% | 13.14% |
| Omega | 1.01 | - |
| Information ratio | -0.02 | - |
| Avg Drawdown | -13.86% | -1.25% |
| Avg Drawdown Days | 37 | 8 |
| Avg Up Month | 16.6500 | 2.9600 |
| Avg Down Month | -34.69% | -1.34% |
| R^2 | 0.11 | 0.11 |
| Calmar | -0.43 | 5.6 |
| Treynor | -13.43 | - |