| Name | [SPX-0DTE-IronCondor] / 2023 |
| Period | 2023-01-03 - 2023-12-29 |
| 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 | 141 | 1 |
| Win/Loss rate | 116 / 25 = 4.64 | |
| Adjustments | 0 | |
| PT Hits | 0 | |
| SL Hits | 25 | |
| Max DIT Reaches | 0 | |
| Settlements | 464 | |
| Avg Days in Trade | 0.62 | 360 |
| Cumulative Return | 13.6% | 23.44% |
| CAGR | 13.81% | 23.8% |
| Max Drawdown | -4.99% | -10.88% |
| Sharpe | 2.24 | 1.72 |
| Alpha | 0.13 | - |
| Beta | 0.02 | - |
| Kelly Criterion | 7.41 | -2.9 |
| Profit Factor | 1.1 | 1.04 |
| Probabilistic Sharpe | 98.29% | 95.68% |
| Smart Sharpe | 2.19 | 1.68 |
| Annual Volatility | 5.85% | 12.89% |
| Omega | 1.1 | - |
| Information ratio | 0 | - |
| Avg Drawdown | -0.1% | -0.36% |
| Avg Drawdown Days | 0 | 2 |
| Avg Up Month | 2.1500 | 3.8900 |
| Avg Down Month | -0.01% | -5.55% |
| R^2 | 0 | 0 |
| Calmar | 2.77 | 2.19 |
| Treynor | 750.55 | - |