POD3 0DTE SPX Iron Condor paper monitor

Pipeline: Daily IC premium monitor; return proxy = net_premium_after_costs / 00k NAV; costs already embedded; not a true MTM account equity curve

Backtest: 2026-05-05 → 2026-05-26  |  periods/year: 252  |  generated: 2026-05-27 03:03

Performance Metrics

Gross

Sharpe14.886
CAGR+71.43%
Ann Vol3.63%
Max DD+0.00%
Calmar0.000
Sortino0.000
Win Rate68.75%
VaR 95%+0.000%
CVaR 95%+0.000%
Best Day+0.758%
Worst Day+0.000%
Days16

Net of TC

Sharpe14.886
CAGR+71.43%
Ann Vol3.63%
Max DD+0.00%
Calmar0.000
Sortino0.000
Win Rate68.75%
VaR 95%+0.000%
CVaR 95%+0.000%
Best Day+0.758%
Worst Day+0.000%
Days16

Cumulative Return

Drawdown

Monthly Return Heatmap (% / month, gross)

YearMayAnnual
2026+3.48+3.48

Transaction Cost Analysis

Costs computed from per-asset rates supplied by user.

Component% NAV/yr$/yr @ $5M
Fee Signal−0.0000%−$0/yr
Fee Roll−0.0000%−$0/yr
Slip Signal−0.0000%−$0/yr
Slip Roll−0.0000%−$0/yr
Total−0.0000% NAV/yr−$0/yr

Capacity Analysis — Cost Scaling with AUM

Market-impact drag at increasing AUM (square-root model).

AUMSignal MIRoll MITotal MI
$5M−0.038%−0.000%−0.038%
$25M−0.086%−0.000%−0.086%
$100M−0.171%−0.000%−0.171%
$500M−0.383%−0.000%−0.383%
$1.0B−0.542%−0.000%−0.542%
$2.5B−0.857%−0.000%−0.857%
$5.0B−1.213%−0.000%−1.213%
$10.0B−1.715%−0.000%−1.715%

Capacity — Per-Instrument Participation Rate

Max-day participation = (peak trade size × AUM / notional) ÷ ADV. Binding constraint is typically 5–10% for clean execution.

Instrument$100M$500M$1.0B$2.5B$5.0B$10.0B
SPX_0DTE_IRON_CONDOR0.0%0.1%0.1%0.2%0.5%1.0%

● <5% (clean)   ● 5–20% (! >10%, stressed)   ● >20% (* infeasible cleanly)