| Name | [NetZero] / NetZero-RUT-2021 |
| Period | 2021-01-04 - 2021-12-30 |
| Version | MesoSim-2.7.0-0-ge13f90a |
| Symbol | RUT |
| Cash | $10000 |
| Structure | Broken Wing Butterfly |
| Max number of positions in flight | 4 |
| Expirations | 1 |
| Legs | 3 |
| Metric | Strategy | RUT |
|---|---|---|
| Trade Count | 58 | 1 |
| Win/Loss rate | 36 / 22 = 1.64 | |
| Adjustments | 0 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 20 | |
| Settlements | 0 | |
| Avg Days in Trade | 20.64 | 360 |
| Cumulative Return | 104.78% | 16.12% |
| CAGR | 106.82% | 16.36% |
| Max Drawdown | -27.42% | -12.15% |
| Sharpe | 1.57 | 0.82 |
| Alpha | 1 | - |
| Beta | -0.7 | - |
| Kelly Criterion | 3.49 | -34.32 |
| Profit Factor | 1.31 | 1.14 |
| Probabilistic Sharpe | 93.86% | 79.12% |
| Smart Sharpe | 1.44 | 0.75 |
| Annual Volatility | 56.04% | 21.13% |
| Omega | 1.31 | - |
| Information ratio | 0.07 | - |
| Avg Drawdown | -5.81% | -5.27% |
| Avg Drawdown Days | 11 | 42 |
| Avg Up Month | 16.0100 | 3.3900 |
| Avg Down Month | -0.75% | -8.1% |
| R^2 | 0.07 | 0.07 |
| Calmar | 3.9 | 1.35 |
| Treynor | -149.92 | - |