Name | [SPX-0DTE-IronCondor] / VolZilla |
Period | 2024-01-02 - 2024-09-05 |
Version | MesoSim-2.11.55-0-gb04f4285 |
Symbol | SPX |
Cash | $25000 |
Structure | Iron Condor |
Max number of positions in flight | 1 |
Expirations | 1 |
Legs | 4 |
Metric | Strategy | SPX |
---|---|---|
Trade Count | 98 | 1 |
Win/Loss rate | 75 / 23 = 3.26 | |
Adjustments | 0 | |
PT Hits | 0 | |
SL Hits | 21 | |
Max DIT Reaches | 0 | |
Settlements | 308 | |
Avg Days in Trade | 0.62 | 247 |
Cumulative Return | -8.02% | 15.86% |
CAGR | -11.63% | 24.31% |
Max Drawdown | -11.88% | -9.38% |
Sharpe | -0.78 | 1.51 |
Alpha | -0.22 | - |
Beta | 0.49 | - |
Kelly Criterion | -8.51 | -11.93 |
Profit Factor | 0.94 | 1.05 |
Probabilistic Sharpe | 21.85% | 86.12% |
Smart Sharpe | -0.77 | 1.48 |
Annual Volatility | 14.39% | 15.18% |
Omega | 0.94 | - |
Information ratio | -0.02 | - |
Avg Drawdown | -0.35% | -0.29% |
Avg Drawdown Days | 4 | 1 |
Avg Up Month | 1.0900 | 3.1700 |
Avg Down Month | -1.4% | -4.36% |
R^2 | 0.26 | 0.26 |
Calmar | -0.98 | 2.59 |
Treynor | -16.54 | - |