| Strategy | Boxcar / Boxcar-NG-Full | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2017-01-03 to 2022-10-31 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.1.7-0-g5ce4540 | Structure | Boxcar | Legs | 4 |
| Strategy | Boxcar / Boxcar-NG-Full |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2017-01-03 to 2022-10-31 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.1.7-0-g5ce4540 |
| Structure | Boxcar |
| Legs | 4 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 265 | 1 |
| Win/Loss rate | 138 / 127 = 1.09 | - |
| Adjustments | 0 | - |
| PT Hits | 0 | - |
| SL Hits | 8 | - |
| Max DIT Reaches | 248 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 6.78 | 2127 |
| Cumulative Return | 337.64% | 72.26% |
| CAGR | 28.83% | 9.78% |
| Max Drawdown from Peak |
-17.66% | -32.69% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 1.46 | 0.62 |
| Alpha | 0.28 | - |
| Beta | -0.08 | - |
| Kelly Criterion | -6.26 | -15.31 |
| Profit Factor | 1.43 | 1.12 |
| Probabilistic Sharpe | 99.93% | 93.16% |
| Annual Volatility | 18.63% | 17.52% |
| Omega | 1.43 | - |
| Information ratio | 0.04 | - |
| Avg Drawdown | -2.17% | -1.72% |
| Avg Drawdown Days | 21 | 16 |
| Avg Up Month | 3.37 | 2.72 |
| Avg Down Month | -2.95% | -5.96% |
| R^2 | 0.01 | 0.01 |
| Calmar | 1.63 | 0.3 |
| Treynor | -4086.58 | - |