| Strategy | [SPX-120DTE-IronCondor] / SPX-120DTE-IronCondor-2022 | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2022-01-03 to 2022-12-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.5.0-0-gaa0ecb4 | Structure | Asymmetric Iron Condor (AIC) | Legs | 4 |
| Strategy | [SPX-120DTE-IronCondor] / SPX-120DTE-IronCondor-2022 |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2022-01-03 to 2022-12-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.5.0-0-gaa0ecb4 |
| Structure | Asymmetric Iron Condor (AIC) |
| 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 | 144.18% | -19.9% |
| CAGR | 146.61% | -20.1% |
| Max Drawdown from Peak |
-62.97% | -26.7% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 1.3 | -0.8 |
| Alpha | 2.81 | - |
| Beta | 4.09 | - |
| Kelly Criterion | 23.87 | -17.01 |
| Profit Factor | 1.42 | 0.88 |
| Probabilistic Sharpe | 92.04% | 21.25% |
| Annual Volatility | 155.16% | 24.24% |
| Omega | 1.42 | - |
| Information ratio | 0.1 | - |
| Avg Drawdown | -9.7% | -26.7% |
| Avg Drawdown Days | 10 | 360 |
| Avg Up Month | 30.76 | 5.16 |
| Avg Down Month | -10.85% | -6.32% |
| R^2 | 0.41 | 0.41 |
| Calmar | 2.33 | -0.75 |
| Treynor | 35.22 | - |