Name | [IC-0DTE] / IC-0DTE |
Period | 2021-01-04 - 2021-12-30 |
Version | MesoSim-2.1.0-0-gf076bfa |
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 | 0 | 360 |
Cumulative Return | -20.87% | 27.61% |
CAGR | -21.12% | 28.04% |
Max Drawdown | -23.73% | -5.77% |
Sharpe | -0.1 | 0.24 |
Alpha | 0 | - |
Beta | 0.11 | - |
Kelly Criterion | -7.25 | -35.32 |
Profit Factor | 0.95 | 1.06 |
Probabilistic Sharpe | 18.8% | 97.73% |
Smart Sharpe | -0.1 | 0.24 |
Annual Volatility | 2.94% | 1.48% |
Omega | 0.95 | - |
Information ratio | -0.01 | - |
Avg Drawdown | -23.73% | -0.27% |
Avg Drawdown Days | 360 | 1 |
Avg Up Month | 4.3600 | 2.1400 |
Avg Down Month | -13.34% | -0.28% |
R^2 | 0 | 0 |
Calmar | -0.89 | 4.86 |
Treynor | -193.59 | - |