| Name | [NetZero] / NetZero-2024 |
| Period | 2024-01-02 - 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 | 48 | 1 |
| Win/Loss rate | 8 / 40 = 0.2 | |
| Adjustments | 0 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 12 | |
| Settlements | 0 | |
| Avg Days in Trade | 20.44 | 297 |
| Cumulative Return | -155.69% | 22.99% |
| CAGR | -51.3% | 28.96% |
| Max Drawdown | -159.79% | -8.54% |
| Sharpe | -0.89 | 2.11 |
| Alpha | -11.94 | - |
| Beta | 6.63 | - |
| Kelly Criterion | -150.87 | 5.76 |
| Profit Factor | 0.62 | 1.44 |
| Probabilistic Sharpe | 13.51% | 96.8% |
| Smart Sharpe | -0.81 | 1.91 |
| Annual Volatility | 1142.91% | 12.32% |
| Omega | 0.62 | - |
| Information ratio | -0.06 | - |
| Avg Drawdown | -54.1% | -1.31% |
| Avg Drawdown Days | 96 | 9 |
| Avg Up Month | 129.2600 | 2.6700 |
| Avg Down Month | -147.16% | -0.62% |
| R^2 | 0.01 | 0.01 |
| Calmar | -0.32 | 3.39 |
| Treynor | -23.47 | - |