Name | [SPX-0DTE-IronCondor] / SPX-0DTE-IronCondor-2022 |
Period | 2022-01-03 - 2022-12-30 |
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 | 22 | 1 |
Win/Loss rate | 0 / 22 = 0 | |
Adjustments | 0 | |
PT Hits | 0 | |
SL Hits | 22 | |
Max DIT Reaches | 0 | |
Settlements | 0 | |
Avg Days in Trade | 1 | 361 |
Cumulative Return | 54.17% | -19.85% |
CAGR | 54.91% | -20.04% |
Max Drawdown | -14.51% | -27.37% |
Sharpe | 0.23 | -0.1 |
Alpha | 0.01 | - |
Beta | 0.04 | - |
Kelly Criterion | 4.42 | -24.27 |
Profit Factor | 1.09 | 0.98 |
Probabilistic Sharpe | 97.4% | 19.21% |
Smart Sharpe | 0.22 | -0.09 |
Annual Volatility | 2.61% | 2.57% |
Omega | 1.09 | - |
Information ratio | 0.02 | - |
Avg Drawdown | -0.29% | -5.63% |
Avg Drawdown Days | 1 | 72 |
Avg Up Month | 7.1700 | 6.2800 |
Avg Down Month | -2.43% | -4.49% |
R^2 | 0 | 0 |
Calmar | 3.78 | -0.73 |
Treynor | 1310.71 | - |