| Strategy | [SPX-0DTE-IronCondor] / SPX-0DTE-IronCondor-2021 | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2021-01-04 to 2021-12-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.5.0-0-gaa0ecb4 | Structure | Iron Condor | Legs | 4 |
| Strategy | [SPX-0DTE-IronCondor] / SPX-0DTE-IronCondor-2021 |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2021-01-04 to 2021-12-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.5.0-0-gaa0ecb4 |
| Structure | Iron Condor |
| 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 from Peak |
-23.82% | -5.78% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| 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% |
| 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 | 4.4 | 2.05 |
| Avg Down Month | -9.09% | -0.18% |
| R^2 | 0 | 0 |
| Calmar | -0.89 | 4.78 |
| Treynor | -236.73 | - |