Out-Of-Sample

Finished
[SPX-0DTE-IronCondor]
SPX 2025-01-02 → 2025-02-13· 0.1 y Iron Condor4 legs1 expirationMax positions 1
Finished 25-02-13 17:06Version MesoSim-2.12.11-0-gf07b7107
Cumulative Return help -0.24% SPX 1.87%
CAGR help -2.07% SPX 17.52%
Win/Loss rate 4.6714 wins / 3 losses
Trade Count 17Avg Days in Trade 0.62
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 171
Win/Loss rate 14 / 3 = 4.67-
Adjustments 0-
PT Hits 0-
SL Hits 3-
Max DIT Reaches 0-
Settlements 56-
Avg Days in Trade 0.6242
Performance
Cumulative Return -0.24%1.87%
CAGR -2.07%17.52%
Max Drawdown
from Peak		 -2.9%-4.04%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe -0.371.12
Alpha -0.03-
Beta 0.05-
Kelly Criterion -6.87-7.7
Profit Factor 0.981.03
Probabilistic Sharpe 44.84%64.76%
Annual Volatility 5.19%15.37%
Omega 0.98-
Information ratio -0.01-
Avg Drawdown -0.05%-0.36%
Avg Drawdown Days 01
Avg Up Month 1.220.85
Avg Down Month N/AN/A
R^2 0.030.03
Calmar -0.714.33
Treynor -4.4-

Next steps

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