| Strategy | [BoxSpread] / BoxSpread-SPX | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2023-01-03 to 2023-10-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.10.30-0-g24826d8 | Structure | Long Box | Legs | 4 |
| Strategy | [BoxSpread] / BoxSpread-SPX |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2023-01-03 to 2023-10-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.10.30-0-g24826d8 |
| Structure | Long Box |
| Legs | 4 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 9 | 1 |
| Win/Loss rate | 9 / 0 | - |
| Adjustments | 0 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 0 | - |
| Settlements | 36 | - |
| Avg Days in Trade | 18.47 | 300 |
| Cumulative Return | 3.81% | 8.32% |
| CAGR | 4.65% | 10.21% |
| Max Drawdown from Peak |
-2.17% | -9.79% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 0.89 | 0.76 |
| Alpha | 0.05 | - |
| Beta | 0.01 | - |
| Kelly Criterion | -4.87 | 0.67 |
| Profit Factor | 1.23 | 1.13 |
| Probabilistic Sharpe | 78.74% | 75.36% |
| Annual Volatility | 5.21% | 14.08% |
| Omega | 1.23 | - |
| Information ratio | -0.03 | - |
| Avg Drawdown | -0.4% | -2.04% |
| Avg Drawdown Days | 8 | 16 |
| Avg Up Month | 0.45 | 4.2 |
| Avg Down Month | -0.27% | -5.48% |
| R^2 | 0 | 0 |
| Calmar | 2.14 | 1.04 |
| Treynor | 313.54 | - |