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| Name | [SPX-14DTE-IC-to-BFly] / ThreeMouse |
| Period | 2022-01-03 - 2024-12-31 |
| Version | MesoSim-3.0.19-0-g4fb96d64 |
| Symbol | SPX |
| Cash | $100000 |
| Structure | IC->BFly (14DTE, 25Δ shorts) |
| Max number of positions in flight | 1 |
| Expirations | 1 |
| Legs | 4 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 120 | 1 |
| Win/Loss rate | 35 / 85 = 0.41 | |
| Adjustments | 92 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 0 | |
| Settlements | 112 | |
| Avg Days in Trade | 7.91 | 1093 |
| Cumulative Return | -7.02% | 23.02% |
| CAGR | -2.4% | 7.16% |
| Max Drawdown | -9.81% | -25.39% |
| Sharpe | -0.48 | 0.49 |
| Alpha | -0.02 | - |
| Beta | -0.07 | - |
| Kelly Criterion | -19.22 | -77.34 |
| Profit Factor | 0.91 | 1.09 |
| Probabilistic Sharpe | 19.95% | 80.08% |
| Smart Sharpe | -0.47 | 0.49 |
| Annual Volatility | 4.88% | 17.14% |
| Omega | 0.91 | - |
| Information ratio | -0.04 | - |
| Avg Drawdown | -1.96% | -2.18% |
| Avg Drawdown Days | 117 | 35 |
| Avg Up Month | 1.0100 | 3.3700 |
| Avg Down Month | -1.21% | -2.86% |
| R^2 | 0.06 | 0.06 |
| Calmar | -0.24 | 0.28 |
| Treynor | 101.37 | - |