In-Sample

Finished
[SPX-0DTE-IronCondor]
SPX 2020-01-02 → 2024-12-30· 5.0 y Iron Condor4 legs1 expirationMax positions 1
Finished 25-02-13 17:10Version MesoSim-2.12.11-0-gf07b7107
Cumulative Return help 24.07% SPX 82.36%
CAGR help 4.41% SPX 12.78%
Win/Loss rate 4.37463 wins / 106 losses
Trade Count 569Avg 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 5691
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 0.621824
Performance
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/AN/A
Sharpe 1.130.7
Alpha 0.04-
Beta 0-
Kelly Criterion 2.81-2.95
Profit Factor 1.061.02
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 12
Avg Up Month 0.814.49
Avg Down Month -0.9%-2.68%
R^2 00
Calmar 1.050.36
Treynor 5456.74-

Next steps

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