| Strategy | Boxcar / Boxcar-Opt-IVRank60-DeltaNeutral | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2019-01-02 to 2022-10-28 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.1.7-0-g5ce4540 | Structure | Boxcar | Legs | 4 |
| Strategy | Boxcar / Boxcar-Opt-IVRank60-DeltaNeutral |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2019-01-02 to 2022-10-28 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.1.7-0-g5ce4540 |
| Structure | Boxcar |
| Legs | 4 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 167 | 1 |
| Win/Loss rate | 80 / 87 = 0.92 | - |
| Adjustments | 0 | - |
| PT Hits | 0 | - |
| SL Hits | 5 | - |
| Max DIT Reaches | 153 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 6.68 | 1395 |
| Cumulative Return | 265.45% | 54.71% |
| CAGR | 40.37% | 12.1% |
| Max Drawdown from Peak |
-17.08% | -32.69% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 1.55 | 0.68 |
| Alpha | 0.39 | - |
| Beta | -0.14 | - |
| Kelly Criterion | 4.31 | -17.57 |
| Profit Factor | 1.45 | 1.13 |
| Probabilistic Sharpe | 99.89% | 90.54% |
| Annual Volatility | 23.82% | 19.78% |
| Omega | 1.45 | - |
| Information ratio | 0.05 | - |
| Avg Drawdown | -3.12% | -1.75% |
| Avg Drawdown Days | 19 | 13 |
| Avg Up Month | 5.63 | 3.37 |
| Avg Down Month | -3.74% | -5.81% |
| R^2 | 0.01 | 0.01 |
| Calmar | 2.36 | 0.37 |
| Treynor | -1847.73 | - |