| Name | [SPX-0DTE-IronCondor] / SandySaola |
| Period | 2024-01-02 - 2024-12-31 |
| Version | MesoSim-2.13.4-0-g4ac54f3d |
| Symbol | SPX |
| Cash | $10000 |
| Structure | Iron Condor |
| Max number of positions in flight | 1 |
| Expirations | 1 |
| Legs | 4 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 251 | 1 |
| Win/Loss rate | 212 / 39 = 5.44 | |
| Adjustments | 0 | |
| PT Hits | 0 | |
| SL Hits | 27 | |
| Max DIT Reaches | 0 | |
| Settlements | 896 | |
| Avg Days in Trade | 0.61 | 364 |
| Cumulative Return | 29.99% | 23.96% |
| CAGR | 30.08% | 24.03% |
| Max Drawdown | -32.14% | -9.38% |
| Sharpe | 0.87 | 1.79 |
| Alpha | 0.31 | - |
| Beta | 0.13 | - |
| Kelly Criterion | 0.25 | -4.63 |
| Profit Factor | 1.03 | 1.05 |
| Probabilistic Sharpe | 80.35% | 95.98% |
| Smart Sharpe | 0.85 | 1.76 |
| Annual Volatility | 39.42% | 12.47% |
| Omega | 1.03 | - |
| Information ratio | 0 | - |
| Avg Drawdown | -0.49% | -0.27% |
| Avg Drawdown Days | 1 | 1 |
| Avg Up Month | 8.5900 | 2.6700 |
| Avg Down Month | -9.48% | -3.56% |
| R^2 | 0 | 0 |
| Calmar | 0.94 | 2.56 |
| Treynor | 224.64 | - |