| Strategy | [0DTE-IC] / 0DTE-IC-2022 | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2022-01-03 to 2022-12-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.4.0-0-g6ed4d42 | Structure | Iron Condor | Legs | 4 |
| Strategy | [0DTE-IC] / 0DTE-IC-2022 |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2022-01-03 to 2022-12-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.4.0-0-g6ed4d42 |
| Structure | Iron Condor |
| Legs | 4 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 22 | 1 |
| Win/Loss rate | 0 / 22 = 0 | - |
| Adjustments | 0 | - |
| PT Hits | 0 | - |
| SL Hits | 22 | - |
| Max DIT Reaches | 0 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 1 | 361 |
| Cumulative Return | 54.17% | -19.85% |
| CAGR | 54.91% | -20.04% |
| Max Drawdown from Peak |
-14.51% | -27.37% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 0.23 | -0.1 |
| Alpha | 0.01 | - |
| Beta | 0.04 | - |
| Kelly Criterion | 4.46 | -24.23 |
| Profit Factor | 1.09 | 0.98 |
| Probabilistic Sharpe | 97.4% | 19.2% |
| Annual Volatility | 2.61% | 2.57% |
| Omega | 1.09 | - |
| Information ratio | 0.02 | - |
| Avg Drawdown | -0.29% | -5.63% |
| Avg Drawdown Days | 1 | 72 |
| Avg Up Month | 7.17 | 6.28 |
| Avg Down Month | -2.43% | -4.49% |
| R^2 | 0 | 0 |
| Calmar | 3.78 | -0.73 |
| Treynor | 1297.05 | - |