Name | [Boxcar-NG] / Boxcar-NG-2022 |
Period | 2022-01-03 - 2022-12-30 |
Version | MesoSim-2.4.0-0-g6ed4d42 |
Symbol | SPX |
Cash | $10000 |
Structure | Boxcar-NG |
Max number of positions in flight | 1 |
Expirations | 1 |
Legs | 4 |
Metric | Strategy | SPX |
---|---|---|
Trade Count | 32 | 1 |
Win/Loss rate | 18 / 14 = 1.29 | |
Adjustments | 0 | |
PT Hits | 0 | |
SL Hits | 2 | |
Max DIT Reaches | 22 | |
Settlements | 0 | |
Avg Days in Trade | 5.78 | 361 |
Cumulative Return | 152.51% | -19.92% |
CAGR | 155.12% | -20.12% |
Max Drawdown | -50.02% | -24.89% |
Sharpe | 1.56 | -0.85 |
Alpha | 1.2 | - |
Beta | -0.12 | - |
Kelly Criterion | 4.09 | -82.26 |
Profit Factor | 1.53 | 0.87 |
Probabilistic Sharpe | 95.26% | 19.71% |
Smart Sharpe | 1.41 | -0.77 |
Annual Volatility | 78.15% | 22.93% |
Omega | 1.53 | - |
Information ratio | 0.11 | - |
Avg Drawdown | -8.32% | -24.89% |
Avg Drawdown Days | 27 | 360 |
Avg Up Month | ||
Avg Down Month | -6.2% | -7.65% |
R^2 | 0 | 0 |
Calmar | 3.1 | -0.81 |
Treynor | -1239.98 | - |