| Name | Portfolio-Opt / Boxcar-NG-compounding |
| Period | 2020-07-01 - 2024-06-28 |
| Version | MesoSim-2.11.39-0-g895393d |
| Symbol | SPX |
| Cash | $15000 |
| Structure | Boxcar-NG |
| Max number of positions in flight | 1 |
| Expirations | 1 |
| Legs | 4 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 193 | 1 |
| Win/Loss rate | 79 / 114 = 0.69 | |
| Adjustments | 0 | |
| PT Hits | 0 | |
| SL Hits | 48 | |
| Max DIT Reaches | 143 | |
| Settlements | 8 | |
| Avg Days in Trade | 6.17 | 1458 |
| Cumulative Return | 556.01% | 75.85% |
| CAGR | 60.14% | 15.18% |
| Max Drawdown | -65.9% | -25.35% |
| Sharpe | 1.11 | 0.93 |
| Alpha | 0.7 | - |
| Beta | -0.46 | - |
| Kelly Criterion | -11.14 | -24.92 |
| Profit Factor | 1.21 | 1.13 |
| Probabilistic Sharpe | 98.71% | 96.8% |
| Smart Sharpe | 1.07 | 0.9 |
| Annual Volatility | 56.93% | 16.67% |
| Omega | 1.21 | - |
| Information ratio | 0.03 | - |
| Avg Drawdown | -7.45% | -1.28% |
| Avg Drawdown Days | 24 | 13 |
| Avg Up Month | 9.9100 | 3.2500 |
| Avg Down Month | -11.12% | -4.96% |
| R^2 | 0.02 | 0.02 |
| Calmar | 0.91 | 0.6 |
| Treynor | -1214.2 | - |