0DTE-IC-compounding

Finished
Portfolio-Opt
SPX 2020-07-01 → 2024-06-28· 4.0 y Iron Condor4 legs1 expirationMax positions 1
Finished 24-06-30 18:06Version MesoSim-2.11.39-0-g895393d
Cumulative Return help 69.29% SPX 75.86%
CAGR help 14.09% SPX 15.18%
Win/Loss rate 3.99451 wins / 113 losses
Trade Count 564Avg Days in Trade 0.62
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. Drawdown is measured on every NAV row. Click a legend entry to hide its series.

Risk Graph at first entry

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Statistics

Metric StrategySPX
Trades
Trade Count 5641
Win/Loss rate 451 / 113 = 3.99-
Adjustments 0-
PT Hits 0-
SL Hits 110-
Max DIT Reaches 0-
Settlements 1816-
Avg Days in Trade 0.621458
Performance
Cumulative Return 69.29%75.86%
CAGR 14.09%15.18%
Max Drawdown
from Peak		 -25.7%-27.37%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 0.750.95
Alpha 0.14-
Beta 0.06-
Kelly Criterion 1.22-3.97
Profit Factor 1.041.02
Probabilistic Sharpe 92.45%97.16%
Annual Volatility 20.31%16.21%
Omega 1.04-
Information ratio 0-
Avg Drawdown -0.28%-0.33%
Avg Drawdown Days 22
Avg Up Month 4.044.31
Avg Down Month -5.15%-2.76%
R^2 00
Calmar 0.550.55
Treynor 1219.85-

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