Boxcar-NG-compounding

Finished
Portfolio-Opt
SPX 2020-07-01 → 2024-06-28· 4.0 y Boxcar-NG4 legs1 expirationMax positions 1
Finished 24-06-30 17:55Version MesoSim-2.11.39-0-g895393d
Cumulative Return help 556.01% SPX 75.85%
CAGR help 60.14% SPX 15.18%
Win/Loss rate 0.6979 wins / 114 losses
Trade Count 193Avg Days in Trade 6.17
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. Drawdown is measured on every NAV row. Click a legend entry to hide its series.

Risk Graph at first entry

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Statistics

Metric StrategySPX
Trades
Trade Count 1931
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 6.171458
Performance
Cumulative Return 556.01%75.85%
CAGR 60.14%15.18%
Max Drawdown
from Peak		 -65.9%-25.35%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 1.110.93
Alpha 0.7-
Beta -0.46-
Kelly Criterion -11.14-24.92
Profit Factor 1.211.13
Probabilistic Sharpe 98.71%96.8%
Annual Volatility 56.93%16.67%
Omega 1.21-
Information ratio 0.03-
Avg Drawdown -7.45%-1.28%
Avg Drawdown Days 2413
Avg Up Month 9.913.25
Avg Down Month -11.12%-4.96%
R^2 0.020.02
Calmar 0.910.6
Treynor -1214.2-

Next steps

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