IronCondor-2022

Finished
[IronCondor]
SPX 2022-01-03 → 2022-12-30· 1.0 y Iron Condor4 legs1 expirationMax positions 1
Finished 23-02-19 12:44Version MesoSim-2.4.0-0-g6ed4d42
Cumulative Return help 13.05% SPX -19.9%
CAGR help 13.2% SPX -20.1%
Win/Loss rate 0 / 00 wins / 0 losses
Trade Count 0Avg Days in Trade 0
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. Drawdown is the strategy's, from its peak on every NAV row; click SPX drawdown to compare. Click a legend entry to hide its series.

Risk Graph at first entry

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Statistics

Metric StrategySPX
Trades
Trade Count 01
Win/Loss rate 0 / 0-
Adjustments 0-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 0-
Settlements 0-
Avg Days in Trade 0361
Performance
Cumulative Return 13.05%-19.9%
CAGR 13.2%-20.1%
Max Drawdown
from Peak		 -3.59%-26.7%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 1.51-0.8
Alpha 0.17-
Beta 0.22-
Kelly Criterion 20.1-19.04
Profit Factor 1.370.88
Probabilistic Sharpe 93.27%21.33%
Annual Volatility 8.42%24.37%
Omega 1.37-
Information ratio 0.1-
Avg Drawdown -0.74%-26.7%
Avg Drawdown Days 8360
Avg Up Month 2.685.16
Avg Down Month -1.44%-5.71%
R^2 0.420.42
Calmar 3.68-0.75
Treynor 58.55-

Next steps

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