BoxSpread-SPX

Finished
[BoxSpread]
SPX 2023-01-03 → 2023-10-30· 0.8 y Long Box4 legs1 expirationMax positions 1
Finished 23-11-28 14:31Version MesoSim-2.10.30-0-g24826d8
Cumulative Return help 3.81% SPX 8.32%
CAGR help 4.65% SPX 10.21%
Win/Loss rate 9 / 09 wins / 0 losses
Trade Count 9Avg Days in Trade 18.47
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 91
Win/Loss rate 9 / 0-
Adjustments 0-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 0-
Settlements 36-
Avg Days in Trade 18.47300
Performance
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/AN/A
Sharpe 0.890.76
Alpha 0.05-
Beta 0.01-
Kelly Criterion -4.870.67
Profit Factor 1.231.13
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 816
Avg Up Month 0.454.2
Avg Down Month -0.27%-5.48%
R^2 00
Calmar 2.141.04
Treynor 313.54-

Next steps

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