SPX-120DTE-IC-compounding

Finished
Portfolio-Opt
SPX 2020-07-01 → 2024-06-28· 4.0 y Asymmetric Iron Condor (AIC)4 legs1 expirationMax positions 1
Finished 24-07-01 03:37Version MesoSim-2.11.39-0-g895393d
Cumulative Return help 102.62% SPX 76.36%
CAGR help 19.34% SPX 15.26%
Win/Loss rate 1.8815 wins / 8 losses
Trade Count 23Avg Days in Trade 57.65
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 231
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 57.651458
Performance
Cumulative Return 102.62%76.36%
CAGR 19.34%15.26%
Max Drawdown
from Peak		 -75.23%-26.7%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 0.590.93
Alpha 0.24-
Beta 0.81-
Kelly Criterion 0.65-7.24
Profit Factor 1.11.12
Probabilistic Sharpe 88.39%96.82%
Annual Volatility 61.94%16.74%
Omega 1.1-
Information ratio 0.02-
Avg Drawdown -5.47%-1.33%
Avg Drawdown Days 1414
Avg Up Month 13.314.18
Avg Down Month -9.78%-4.78%
R^2 0.050.05
Calmar 0.260.57
Treynor 126.17-

Next steps

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