Boxcar-NG-2022

Finished
[Boxcar-NG]
SPX 2022-01-03 → 2022-12-30· 1.0 y Boxcar-NG4 legs1 expirationMax positions 1
Finished 23-03-02 12:46Version MesoSim-2.5.0-0-gaa0ecb4
Cumulative Return help 152.51% SPX -19.92%
CAGR help 155.12% SPX -20.12%
Win/Loss rate 1.2918 wins / 14 losses
Trade Count 32Avg Days in Trade 5.78
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. Drawdown is the strategy's, from its peak on every NAV row; click SPX drawdown to compare. Click a legend entry to hide its series.

Risk Graph at first entry

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Statistics

Metric StrategySPX
Trades
Trade Count 321
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 5.78361
Performance
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/AN/A
Sharpe 1.56-0.85
Alpha 1.2-
Beta -0.12-
Kelly Criterion 4.09-82.26
Profit Factor 1.530.87
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 27360
Avg Up Month N/AN/A
Avg Down Month -6.2%-7.65%
R^2 00
Calmar 3.1-0.81
Treynor -1239.98-

Next steps

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