| Strategy | [SPX-0DTE-IronCondor] / In-Sample | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2020-01-02 to 2024-12-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.12.11-0-gf07b7107 | Structure | Iron Condor | Legs | 4 |
| Strategy | [SPX-0DTE-IronCondor] / In-Sample |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2020-01-02 to 2024-12-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.12.11-0-gf07b7107 |
| Structure | Iron Condor |
| Legs | 4 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 569 | 1 |
| Win/Loss rate | 463 / 106 = 4.37 | - |
| Adjustments | 0 | - |
| PT Hits | 0 | - |
| SL Hits | 103 | - |
| Max DIT Reaches | 0 | - |
| Settlements | 1864 | - |
| Avg Days in Trade | 0.62 | 1824 |
| Cumulative Return | 24.07% | 82.36% |
| CAGR | 4.41% | 12.78% |
| Max Drawdown from Peak |
-4.2% | -35.34% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 1.13 | 0.7 |
| Alpha | 0.04 | - |
| Beta | 0 | - |
| Kelly Criterion | 2.81 | -2.95 |
| Profit Factor | 1.06 | 1.02 |
| Probabilistic Sharpe | 99.28% | 94.01% |
| Annual Volatility | 3.89% | 19.97% |
| Omega | 1.06 | - |
| Information ratio | 0 | - |
| Avg Drawdown | -0.07% | -0.35% |
| Avg Drawdown Days | 1 | 2 |
| Avg Up Month | 0.81 | 4.49 |
| Avg Down Month | -0.9% | -2.68% |
| R^2 | 0 | 0 |
| Calmar | 1.05 | 0.36 |
| Treynor | 5456.74 | - |