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- Strategy Definition
| Name | [IC-0DTE] / IC-0DTE |
| Period | 2021-01-04 - 2021-12-30 |
| Version | MesoSim-2.1.0-0-gf076bfa |
| Symbol | SPX |
| Cash | |
| 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 | - |