Name[IC-0DTE] / IC-0DTE-2022
Period2022-01-03 - 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 0270
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 -
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