| Name | NetZero-Adjusting / fullperiod |
| Period | 2020-06-01 - 2024-10-25 |
| Version | MesoSim-2.11.65-0-g16fd513e |
| Symbol | SPX |
| Cash | $10000 |
| Structure | Broken Wing Butterfly |
| Max number of positions in flight | 4 |
| Expirations | 1 |
| Legs | 3 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 259 | 1 |
| Win/Loss rate | 131 / 128 = 1.02 | |
| Adjustments | 95 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 115 | |
| Settlements | 0 | |
| Avg Days in Trade | 20.86 | 1607 |
| Cumulative Return | 181.82% | 90.08% |
| CAGR | 26.53% | 15.71% |
| Max Drawdown | -42.98% | -25.39% |
| Sharpe | 0.82 | 0.95 |
| Alpha | 0.26 | - |
| Beta | 0.3 | - |
| Kelly Criterion | -5.03 | -23.37 |
| Profit Factor | 1.19 | 1.18 |
| Probabilistic Sharpe | 94.58% | 97.5% |
| Smart Sharpe | 0.76 | 0.89 |
| Annual Volatility | 38.09% | 16.9% |
| Omega | 1.19 | - |
| Information ratio | 0.02 | - |
| Avg Drawdown | -5.69% | -1.71% |
| Avg Drawdown Days | 26 | 19 |
| Avg Up Month | 10.3000 | 4.2900 |
| Avg Down Month | -5.76% | -3.52% |
| R^2 | 0.02 | 0.02 |
| Calmar | 0.62 | 0.62 |
| Treynor | 612.92 | - |