Name[IC-0DTE] / IC-0DTE
Period2021-01-04 - 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 0360
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 -
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