| Strategy | [IronCondor] / IronCondor-2022 | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2022-01-03 to 2022-12-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.4.0-0-g6ed4d42 | Structure | Iron Condor | Legs | 4 |
| Strategy | [IronCondor] / IronCondor-2022 |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2022-01-03 to 2022-12-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.4.0-0-g6ed4d42 |
| Structure | Iron Condor |
| Legs | 4 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 0 | 1 |
| Win/Loss rate | 0 / 0 | - |
| 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 from Peak |
-3.59% | -26.7% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| 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% |
| 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 | 2.68 | 5.16 |
| Avg Down Month | -1.44% | -5.71% |
| R^2 | 0.42 | 0.42 |
| Calmar | 3.68 | -0.75 |
| Treynor | 58.55 | - |