0DTE-IC-2022

Finished
[0DTE-IC]
SPX 2022-01-03 → 2022-12-30· 1.0 y Iron Condor4 legs1 expirationMax positions 1
Finished 23-02-19 12:47Version MesoSim-2.4.0-0-g6ed4d42
Cumulative Return help 54.17% SPX -19.85%
CAGR help 54.91% SPX -20.04%
Win/Loss rate 00 wins / 22 losses
Trade Count 22Avg Days in Trade 1
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. Drawdown is the strategy's, from its peak on every NAV row; click SPX drawdown to compare. Click a legend entry to hide its series.

Risk Graph at first entry

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Statistics

Metric StrategySPX
Trades
Trade Count 221
Win/Loss rate 0 / 22 = 0-
Adjustments 0-
PT Hits 0-
SL Hits 22-
Max DIT Reaches 0-
Settlements 0-
Avg Days in Trade 1361
Performance
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/AN/A
Sharpe 0.23-0.1
Alpha 0.01-
Beta 0.04-
Kelly Criterion 4.46-24.23
Profit Factor 1.090.98
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 172
Avg Up Month 7.176.28
Avg Down Month -2.43%-4.49%
R^2 00
Calmar 3.78-0.73
Treynor 1297.05-

Next steps

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