Name[NetZero] / NetZero-RUT-2021
Period2021-01-04 - 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 -
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