Name[BoxSpread] / BoxSpread-SPX
Period2023-01-03 - 2023-10-30
Version MesoSim-2.10.30-0-g24826d8
Symbol SPX
Cash $20000
Structure Long Box
Max number of positions in flight 1
Expirations 1
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 18.47300
Cumulative Return 3.81% 8.32%
CAGR 4.65% 10.21%
Max Drawdown -2.17% -9.79%
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%
Smart Sharpe 0.51 0.43
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 0.4500 4.2000
Avg Down Month -0.27% -5.48%
R^2 0 0
Calmar 2.14 1.04
Treynor 313.54 -
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