Name | [SPX-0DTE-IronCondor] / SPX-0DTE-IronCondor-2021 |
Period | 2021-01-04 - 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 | 1 | 360 |
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 | - |