| Strategy | [IC-0DTE] / IC-0DTE-2022 | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2022-01-03 to 2022-09-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.1.0-0-gf076bfa | Structure | Iron Condor | Legs | 4 |
| Strategy | [IC-0DTE] / IC-0DTE-2022 |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2022-01-03 to 2022-09-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.1.0-0-gf076bfa |
| Structure | Iron Condor |
| 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 from Peak |
-15.78% | -25.36% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| 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% |
| 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 | 8.21 | 4.34 |
| Avg Down Month | -3.07% | -4.41% |
| R^2 | 0 | 0 |
| Calmar | 3.72 | -1.25 |
| Treynor | 1616.4 | - |