| Strategy | [SPX-0DTE-IronCondor] / Out-Of-Sample | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2025-01-02 to 2025-02-13 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.12.11-0-gf07b7107 | Structure | Iron Condor | Legs | 4 |
| Strategy | [SPX-0DTE-IronCondor] / Out-Of-Sample |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2025-01-02 to 2025-02-13 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.12.11-0-gf07b7107 |
| Structure | Iron Condor |
| Legs | 4 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 17 | 1 |
| 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 | 0.62 | 42 |
| 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/A | N/A |
| Sharpe | -0.37 | 1.12 |
| Alpha | -0.03 | - |
| Beta | 0.05 | - |
| Kelly Criterion | -6.87 | -7.7 |
| Profit Factor | 0.98 | 1.03 |
| 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 | 0 | 1 |
| Avg Up Month | 1.22 | 0.85 |
| Avg Down Month | N/A | N/A |
| R^2 | 0.03 | 0.03 |
| Calmar | -0.71 | 4.33 |
| Treynor | -4.4 | - |