CockyRagdoll

Finished
[SPX-120DTE-IronCondor]
SPX 2022-01-03 → 2022-12-30· 1.0 y Asymmetric Iron Condor (AIC)4 legs1 expirationMax positions 1
Finished 23-10-17 09:28Version MesoSim-2.10.20-0-g23bf5c4
Cumulative Return help 103.72% SPX -19.9%
CAGR help 105.34% SPX -20.1%
Win/Loss rate 44 wins / 1 loss
Trade Count 5Avg Days in Trade 60
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. Drawdown is measured on every NAV row. Click a legend entry to hide its series.

Risk Graph at first entry

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Statistics

Metric StrategySPX
Trades
Trade Count 51
Win/Loss rate 4 / 1 = 4-
Adjustments 207-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 5-
Settlements 0-
Avg Days in Trade 60361
Performance
Cumulative Return 103.72%-19.9%
CAGR 105.34%-20.1%
Max Drawdown
from Peak		 -62.97%-26.7%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 1.18-0.8
Alpha 2.3-
Beta 3.07-
Kelly Criterion 15.95-13.71
Profit Factor 1.330.88
Probabilistic Sharpe 89.58%21.29%
Annual Volatility 144.67%24.32%
Omega 1.33-
Information ratio 0.09-
Avg Drawdown -12.59%-26.7%
Avg Drawdown Days 13360
Avg Up Month 16.645.16
Avg Down Month -15.44%-5.6%
R^2 0.270.27
Calmar 1.67-0.75
Treynor 33.74-

Next steps

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