| Name | Portfolio-Opt / 0DTE-IC-compounding |
| Period | 2020-07-01 - 2024-06-28 |
| Version | MesoSim-2.11.39-0-g895393d |
| Symbol | SPX |
| Cash | $10000 |
| Structure | Iron Condor |
| Max number of positions in flight | 1 |
| Expirations | 1 |
| Legs | 4 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 564 | 1 |
| 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 | 0.62 | 1458 |
| Cumulative Return | 69.29% | 75.86% |
| CAGR | 14.09% | 15.18% |
| Max Drawdown | -25.7% | -27.37% |
| Sharpe | 0.75 | 0.95 |
| Alpha | 0.14 | - |
| Beta | 0.06 | - |
| Kelly Criterion | 1.22 | -3.97 |
| Profit Factor | 1.04 | 1.02 |
| Probabilistic Sharpe | 92.45% | 97.16% |
| Smart Sharpe | 0.72 | 0.91 |
| Annual Volatility | 20.31% | 16.21% |
| Omega | 1.04 | - |
| Information ratio | 0 | - |
| Avg Drawdown | -0.28% | -0.33% |
| Avg Drawdown Days | 2 | 2 |
| Avg Up Month | 4.0400 | 4.3100 |
| Avg Down Month | -5.15% | -2.76% |
| R^2 | 0 | 0 |
| Calmar | 0.55 | 0.55 |
| Treynor | 1219.85 | - |