Boxcar-NG

Finished
SPX 2019-01-02 → 2022-10-28· 3.8 y Boxcar4 legs1 expirationMax positions 1
Finished 22-11-17 18:39Version MesoSim-2.1.7-0-g5ce4540
Cumulative Return help 265.45% SPX 54.71%
CAGR help 40.37% SPX 12.1%
Win/Loss rate 0.9280 wins / 87 losses
Trade Count 167Avg Days in Trade 6.68
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 1671
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 6.681395
Performance
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/AN/A
Sharpe 1.550.68
Alpha 0.39-
Beta -0.14-
Kelly Criterion 4.31-17.57
Profit Factor 1.451.13
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 1913
Avg Up Month 5.633.37
Avg Down Month -3.74%-5.81%
R^2 0.010.01
Calmar 2.360.37
Treynor -1847.73-

Next steps

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