Name | [IronCondor] / IronCondor-2022 |
Period | 2022-01-03 - 2022-12-30 |
Version | MesoSim-2.4.0-0-g6ed4d42 |
Symbol | SPX |
Cash | $10000 |
Structure | Iron Condor |
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 | 361 |
Cumulative Return | 13.05% | -19.9% |
CAGR | 13.2% | -20.1% |
Max Drawdown | -3.59% | -26.7% |
Sharpe | 1.51 | -0.8 |
Alpha | 0.17 | - |
Beta | 0.22 | - |
Kelly Criterion | 20.1 | -19.04 |
Profit Factor | 1.37 | 0.88 |
Probabilistic Sharpe | 93.27% | 21.33% |
Smart Sharpe | 1.22 | -0.64 |
Annual Volatility | 8.42% | 24.37% |
Omega | 1.37 | - |
Information ratio | 0.1 | - |
Avg Drawdown | -0.74% | -26.7% |
Avg Drawdown Days | 8 | 360 |
Avg Up Month | 2.6800 | 5.1600 |
Avg Down Month | -1.44% | -5.71% |
R^2 | 0.42 | 0.42 |
Calmar | 3.68 | -0.75 |
Treynor | 58.55 | - |