VolZilla

Finished
[BoxSpread]
SPX 2024-01-02 → 2024-09-05· 0.7 y Long Box4 legs1 expirationMax positions 1
Finished 24-09-08 16:22Version MesoSim-2.11.55-0-gb04f4285
Cumulative Return help 3.22% SPX 16.95%
CAGR help 4.79% SPX 26.03%
Win/Loss rate 6 / 06 wins / 0 losses
Trade Count 7Avg Days in Trade 19.41
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. Drawdown is the strategy's, from its peak on every NAV row; click SPX drawdown to compare. Click a legend entry to hide its series.

Risk Graph at first entry

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Statistics

Metric StrategySPX
Trades
Trade Count 71
Win/Loss rate 6 / 0-
Adjustments 0-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 0-
Settlements 28-
Avg Days in Trade 19.41247
Performance
Cumulative Return 3.22%16.95%
CAGR 4.79%26.03%
Max Drawdown
from Peak		 -2.19%-8.56%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 0.651.85
Alpha 0.04-
Beta 0.02-
Kelly Criterion 15.084.43
Profit Factor 1.131.4
Probabilistic Sharpe 70.49%91.53%
Annual Volatility 7.6%12.91%
Omega 1.13-
Information ratio -0.08-
Avg Drawdown -0.81%-1.41%
Avg Drawdown Days 1410
Avg Up Month 0.473.4
Avg Down Month N/AN/A
R^2 00
Calmar 2.193.04
Treynor 144.46-

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