| Name | Portfolio-Opt / SPX-120DTE-IC-compounding |
| Period | 2020-07-01 - 2024-06-28 |
| Version | MesoSim-2.11.39-0-g895393d |
| Symbol | SPX |
| Cash | $10000 |
| Structure | Asymmetric Iron Condor (AIC) |
| Max number of positions in flight | 1 |
| Expirations | 1 |
| Legs | 4 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 23 | 1 |
| Win/Loss rate | 15 / 8 = 1.88 | |
| Adjustments | 0 | |
| PT Hits | 0 | |
| SL Hits | 3 | |
| Max DIT Reaches | 20 | |
| Settlements | 0 | |
| Avg Days in Trade | 57.65 | 1458 |
| Cumulative Return | 102.62% | 76.36% |
| CAGR | 19.34% | 15.26% |
| Max Drawdown | -75.23% | -26.7% |
| Sharpe | 0.59 | 0.93 |
| Alpha | 0.24 | - |
| Beta | 0.81 | - |
| Kelly Criterion | 0.65 | -7.24 |
| Profit Factor | 1.1 | 1.12 |
| Probabilistic Sharpe | 88.39% | 96.82% |
| Smart Sharpe | 0.59 | 0.93 |
| Annual Volatility | 61.94% | 16.74% |
| Omega | 1.1 | - |
| Information ratio | 0.02 | - |
| Avg Drawdown | -5.47% | -1.33% |
| Avg Drawdown Days | 14 | 14 |
| Avg Up Month | 13.3100 | 4.1800 |
| Avg Down Month | -9.78% | -4.78% |
| R^2 | 0.05 | 0.05 |
| Calmar | 0.26 | 0.57 |
| Treynor | 126.17 | - |