| Strategy | [Boxcar-NG] / Boxcar-NG-2022 | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2022-01-03 to 2022-12-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.5.0-0-gaa0ecb4 | Structure | Boxcar-NG | Legs | 4 |
| Strategy | [Boxcar-NG] / Boxcar-NG-2022 |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2022-01-03 to 2022-12-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.5.0-0-gaa0ecb4 |
| Structure | Boxcar-NG |
| 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 from Peak |
-50.02% | -24.89% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| 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% |
| 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 | N/A | N/A |
| Avg Down Month | -6.2% | -7.65% |
| R^2 | 0 | 0 |
| Calmar | 3.1 | -0.81 |
| Treynor | -1239.98 | - |