Name | [BoxSpread] / BoxSpread-SPX |
Period | 2023-01-03 - 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 | 18.47 | 300 |
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 | - |