2023

Finished
[SPX-0DTE-IronCondor]
SPX 2023-01-03 → 2023-12-29· 1.0 y Iron Condor4 legs1 expirationMax positions 1
Finished 24-09-08 15:47Version MesoSim-2.11.55-0-gb04f4285
Cumulative Return help 13.6% SPX 23.44%
CAGR help 13.81% SPX 23.8%
Win/Loss rate 4.64116 wins / 25 losses
Trade Count 141Avg Days in Trade 0.62
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. Drawdown is the strategy's, from its peak on every NAV row; click SPX drawdown to compare. Click a legend entry to hide its series.

Risk Graph at first entry

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Statistics

Metric StrategySPX
Trades
Trade Count 1411
Win/Loss rate 116 / 25 = 4.64-
Adjustments 0-
PT Hits 0-
SL Hits 25-
Max DIT Reaches 0-
Settlements 464-
Avg Days in Trade 0.62360
Performance
Cumulative Return 13.6%23.44%
CAGR 13.81%23.8%
Max Drawdown
from Peak		 -4.99%-10.88%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 2.241.72
Alpha 0.13-
Beta 0.02-
Kelly Criterion 7.41-2.9
Profit Factor 1.11.04
Probabilistic Sharpe 98.29%95.68%
Annual Volatility 5.85%12.89%
Omega 1.1-
Information ratio 0-
Avg Drawdown -0.1%-0.36%
Avg Drawdown Days 02
Avg Up Month 2.153.89
Avg Down Month -0.01%-5.55%
R^2 00
Calmar 2.772.19
Treynor 750.55-

Next steps

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