| Name | [SPX-120DTE-IronCondor] / SPX-120DTE-IronCondor-2021 |
| Period | 2021-01-04 - 2021-12-30 |
| Version | MesoSim-2.5.0-0-gaa0ecb4 |
| 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 | 0 | 1 |
| Win/Loss rate | 0 / 0 = NaN | |
| Adjustments | 0 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 0 | |
| Settlements | 0 | |
| Avg Days in Trade | 0 | 360 |
| Cumulative Return | 18.09% | 28.08% |
| CAGR | 18.36% | 28.52% |
| Max Drawdown | -72.19% | -5.18% |
| Sharpe | 0.63 | 2.09 |
| Alpha | 0.72 | - |
| Beta | -0.65 | - |
| Kelly Criterion | 16.96 | -11.89 |
| Profit Factor | 1.16 | 1.43 |
| Probabilistic Sharpe | 73.56% | 98.01% |
| Smart Sharpe | 0.6 | 1.97 |
| Annual Volatility | 86.85% | 12.24% |
| Omega | 1.16 | - |
| Information ratio | 0.02 | - |
| Avg Drawdown | -15.64% | -1.25% |
| Avg Drawdown Days | 41 | 9 |
| Avg Up Month | 13.1300 | 2.6800 |
| Avg Down Month | -2.93% | -2.53% |
| R^2 | 0.01 | 0.01 |
| Calmar | 0.25 | 5.5 |
| Treynor | -28 | - |