Name | [IC-0DTE] / IC-0DTE-2022 |
Period | 2022-01-03 - 2022-09-30 |
Version | MesoSim-2.1.0-0-gf076bfa |
Symbol | SPX |
Cash | $10000 |
Structure | Iron Condor |
Max number of positions in flight | 1 |
Expirations | 1 |
Legs | 4 |
Metric | Strategy | SPX |
---|---|---|
Trade Count | 15 | 1 |
Win/Loss rate | 0 / 15 = 0 | |
Adjustments | 0 | |
PT Hits | 0 | |
SL Hits | 15 | |
Max DIT Reaches | 0 | |
Settlements | 0 | |
Avg Days in Trade | 0 | 270 |
Cumulative Return | 40.68% | -24.62% |
CAGR | 58.64% | -31.75% |
Max Drawdown | -15.78% | -25.36% |
Sharpe | 0.24 | -0.18 |
Alpha | 0.01 | - |
Beta | 0.03 | - |
Kelly Criterion | 2.86 | -37.62 |
Profit Factor | 1.09 | 0.96 |
Probabilistic Sharpe | 95.7% | 9.15% |
Smart Sharpe | 0.23 | -0.17 |
Annual Volatility | 2.78% | 2.71% |
Omega | 1.09 | - |
Information ratio | 0.02 | - |
Avg Drawdown | -0.34% | -3.72% |
Avg Drawdown Days | 1 | 38 |
Avg Up Month | 8.2100 | 4.3400 |
Avg Down Month | -3.07% | -4.41% |
R^2 | 0 | 0 |
Calmar | 3.72 | -1.25 |
Treynor | 1616.4 | - |