| Strategy | [SPX-0DTE-IronCondor] / VolZilla | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2024-01-02 to 2024-09-05 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.11.55-0-gb04f4285 | Structure | Iron Condor | Legs | 4 |
| Strategy | [SPX-0DTE-IronCondor] / VolZilla |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2024-01-02 to 2024-09-05 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.11.55-0-gb04f4285 |
| Structure | Iron Condor |
| Legs | 4 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 98 | 1 |
| Win/Loss rate | 75 / 23 = 3.26 | - |
| Adjustments | 0 | - |
| PT Hits | 0 | - |
| SL Hits | 21 | - |
| Max DIT Reaches | 0 | - |
| Settlements | 308 | - |
| Avg Days in Trade | 0.62 | 247 |
| Cumulative Return | -8.02% | 15.86% |
| CAGR | -11.63% | 24.31% |
| Max Drawdown from Peak |
-11.88% | -9.38% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | -0.78 | 1.51 |
| Alpha | -0.22 | - |
| Beta | 0.49 | - |
| Kelly Criterion | -8.51 | -11.93 |
| Profit Factor | 0.94 | 1.05 |
| Probabilistic Sharpe | 21.85% | 86.12% |
| Annual Volatility | 14.39% | 15.18% |
| Omega | 0.94 | - |
| Information ratio | -0.02 | - |
| Avg Drawdown | -0.35% | -0.29% |
| Avg Drawdown Days | 4 | 1 |
| Avg Up Month | 1.09 | 3.17 |
| Avg Down Month | -1.4% | -4.36% |
| R^2 | 0.26 | 0.26 |
| Calmar | -0.98 | 2.59 |
| Treynor | -16.54 | - |