Name[SPX-0DTE-IronCondor] / SPX-0DTE-IronCondor-2021
Period2021-01-04 - 2021-12-30
Version MesoSim-2.5.0-0-gaa0ecb4
Symbol SPX
Cash $10000
Structure Iron Condor
Max number of positions in flight 1
Expirations 1
Legs 4
Metric Strategy SPX
Trade Count 29 1
Win/Loss rate 0 / 29 = 0
Adjustments 0
PT Hits 0
SL Hits 29
Max DIT Reaches 0
Settlements 0
Avg Days in Trade 1360
Cumulative Return -20.96% 27.2%
CAGR -21.22% 27.63%
Max Drawdown -23.82% -5.78%
Sharpe -0.09 0.23
Alpha 0 -
Beta 0.09 -
Kelly Criterion -3.15 -23.55
Profit Factor 0.95 1.05
Probabilistic Sharpe 18.6% 97.5%
Smart Sharpe -0.09 0.22
Annual Volatility 2.84% 1.44%
Omega 0.95 -
Information ratio -0.01 -
Avg Drawdown -23.82% -0.27%
Avg Drawdown Days 360 1
Avg Up Month 4.4000 2.0500
Avg Down Month -9.09% -0.18%
R^2 0 0
Calmar -0.89 4.78
Treynor -236.73 -
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