Name | [BoxSpread] / VolZilla |
Period | 2024-01-02 - 2024-09-05 |
Version | MesoSim-2.11.55-0-gb04f4285 |
Symbol | SPX |
Cash | $20000 |
Structure | Long Box |
Max number of positions in flight | 1 |
Expirations | 1 |
Legs | 4 |
Metric | Strategy | SPX |
---|---|---|
Trade Count | 7 | 1 |
Win/Loss rate | 6 / 0 = ∞ | |
Adjustments | 0 | |
PT Hits | 0 | |
SL Hits | 0 | |
Max DIT Reaches | 0 | |
Settlements | 28 | |
Avg Days in Trade | 19.41 | 247 |
Cumulative Return | 3.22% | 16.95% |
CAGR | 4.79% | 26.03% |
Max Drawdown | -2.19% | -8.56% |
Sharpe | 0.65 | 1.85 |
Alpha | 0.04 | - |
Beta | 0.02 | - |
Kelly Criterion | 15.08 | 4.43 |
Profit Factor | 1.13 | 1.4 |
Probabilistic Sharpe | 70.49% | 91.53% |
Smart Sharpe | 0.37 | 1.05 |
Annual Volatility | 7.6% | 12.91% |
Omega | 1.13 | - |
Information ratio | -0.08 | - |
Avg Drawdown | -0.81% | -1.41% |
Avg Drawdown Days | 14 | 10 |
Avg Up Month | 0.4700 | 3.4000 |
Avg Down Month | ||
R^2 | 0 | 0 |
Calmar | 2.19 | 3.04 |
Treynor | 144.46 | - |