Name[0DTE-IC] / 0DTE-IC-2022
Period2022-01-03 - 2022-12-30
Version MesoSim-2.4.0-0-g6ed4d42
Symbol SPX
Cash $10000
Structure Iron Condor
Max number of positions in flight 1
Expirations 1
Legs 4
Metric Strategy SPX
Trade Count 22 1
Win/Loss rate 0 / 22 = 0
Adjustments 0
PT Hits 0
SL Hits 22
Max DIT Reaches 0
Settlements 0
Avg Days in Trade 1 361
Cumulative Return 54.17% -19.85%
CAGR 54.91% -20.04%
Max Drawdown -14.51% -27.37%
Sharpe 0.23 -0.1
Alpha 0.01 -
Beta 0.04 -
Kelly Criterion 4.46 -24.23
Profit Factor 1.09 0.98
Probabilistic Sharpe 97.4% 19.2%
Smart Sharpe 0.22 -0.09
Annual Volatility 2.61% 2.57%
Omega 1.09 -
Information ratio 0.02 -
Avg Drawdown -0.29% -5.63%
Avg Drawdown Days 1 72
Avg Up Month 7.1700 6.2800
Avg Down Month -2.43% -4.49%
R^2 0 0
Calmar 3.78 -0.73
Treynor 1297.05 -
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