| Name | [SPX-120DTE-IronCondor] / CockyRagdoll |
| Period | 2022-01-03 - 2022-12-30 |
| Version | MesoSim-2.10.20-0-g23bf5c4 |
| Symbol | SPX |
| Cash | $10000 |
| Structure | Asymmetric Iron Condor (AIC) |
| Max number of positions in flight | 1 |
| Expirations | 1 |
| Legs | 4 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 5 | 1 |
| Win/Loss rate | 4 / 1 = 4 | |
| Adjustments | 207 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 5 | |
| Settlements | 0 | |
| Avg Days in Trade | 60 | 361 |
| Cumulative Return | 103.72% | -19.9% |
| CAGR | 105.34% | -20.1% |
| Max Drawdown | -62.97% | -26.7% |
| Sharpe | 1.18 | -0.8 |
| Alpha | 2.3 | - |
| Beta | 3.07 | - |
| Kelly Criterion | 15.95 | -13.71 |
| Profit Factor | 1.33 | 0.88 |
| Probabilistic Sharpe | 89.58% | 21.29% |
| Smart Sharpe | 1 | -0.68 |
| Annual Volatility | 144.67% | 24.32% |
| Omega | 1.33 | - |
| Information ratio | 0.09 | - |
| Avg Drawdown | -12.59% | -26.7% |
| Avg Drawdown Days | 13 | 360 |
| Avg Up Month | 16.6400 | 5.1600 |
| Avg Down Month | -15.44% | -5.6% |
| R^2 | 0.27 | 0.27 |
| Calmar | 1.67 | -0.75 |
| Treynor | 33.74 | - |