Name | [NetZero] / VolZilla |
Period | 2024-01-02 - 2024-09-05 |
Version | MesoSim-2.11.55-0-gb04f4285 |
Symbol | SPX |
Cash | $10000 |
Structure | Broken Wing Butterfly |
Max number of positions in flight | 4 |
Expirations | 1 |
Legs | 3 |
Metric | Strategy | SPX |
---|---|---|
Trade Count | 42 | 1 |
Win/Loss rate | 3 / 39 = 0.08 | |
Adjustments | 0 | |
PT Hits | 0 | |
SL Hits | 0 | |
Max DIT Reaches | 6 | |
Settlements | 0 | |
Avg Days in Trade | 16.81 | 247 |
Cumulative Return | -173.32% | 16.95% |
CAGR | -36.78% | 26.03% |
Max Drawdown | -178.19% | -8.56% |
Sharpe | -1.22 | 1.85 |
Alpha | -271.46 | - |
Beta | 46.31 | - |
Kelly Criterion | -2677.06 | 11.07 |
Profit Factor | 0.1 | 1.4 |
Probabilistic Sharpe | 2.16% | 91.53% |
Smart Sharpe | -1.22 | 1.85 |
Annual Volatility | 21271.51% | 12.91% |
Omega | 0.1 | - |
Information ratio | -0.08 | - |
Avg Drawdown | -89.34% | -1.41% |
Avg Drawdown Days | 120 | 10 |
Avg Up Month | 248.0800 | 1.0700 |
Avg Down Month | -18.08% | -2.53% |
R^2 | 0 | 0 |
Calmar | -0.21 | 3.04 |
Treynor | -3.74 | - |