| Strategy | Boxcar / Boxcar-Opt-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-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 | 183 | 1 |
| Win/Loss rate | 89 / 94 = 0.95 | - |
| Adjustments | 0 | - |
| PT Hits | 0 | - |
| SL Hits | 0 | - |
| Max DIT Reaches | 183 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 7.05 | 1395 |
| Cumulative Return | 285.55% | 54.71% |
| CAGR | 42.35% | 12.1% |
| Max Drawdown from Peak |
-49.83% | -32.69% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 0.97 | 0.68 |
| Alpha | 0.44 | - |
| Beta | 0.09 | - |
| Kelly Criterion | -9.69 | -19.93 |
| Profit Factor | 1.38 | 1.13 |
| Probabilistic Sharpe | 99.01% | 90.53% |
| Annual Volatility | 46.38% | 19.81% |
| Omega | 1.38 | - |
| Information ratio | 0.04 | - |
| Avg Drawdown | -4.01% | -1.75% |
| Avg Drawdown Days | 18 | 13 |
| Avg Up Month | 5.84 | 2.99 |
| Avg Down Month | -18.63% | -6.56% |
| R^2 | 0 | 0 |
| Calmar | 0.85 | 0.37 |
| Treynor | 3291.94 | - |