| Name | [NetZero] / NetZero-2022 |
| Period | 2022-01-03 - 2022-12-30 |
| 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 | 67 | 1 |
| Win/Loss rate | 36 / 31 = 1.16 | |
| Adjustments | 0 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 11 | |
| Settlements | 0 | |
| Avg Days in Trade | 15.39 | 361 |
| Cumulative Return | 154.08% | -20.33% |
| CAGR | 156.72% | -20.53% |
| Max Drawdown | -17.58% | -25.39% |
| Sharpe | 2.28 | -0.85 |
| Alpha | 0.98 | - |
| Beta | -0.36 | - |
| Kelly Criterion | 9.02 | -33.36 |
| Profit Factor | 1.48 | 0.87 |
| Probabilistic Sharpe | 98.54% | 19.97% |
| Smart Sharpe | 2.13 | -0.79 |
| Annual Volatility | 46.35% | 23.82% |
| Omega | 1.48 | - |
| Information ratio | 0.14 | - |
| Avg Drawdown | -8.62% | -25.39% |
| Avg Drawdown Days | 22 | 360 |
| Avg Up Month | 5.6100 | 5.8300 |
| Avg Down Month | -4.03% | -6.5% |
| R^2 | 0.03 | 0.03 |
| Calmar | 8.92 | -0.81 |
| Treynor | -429.12 | - |