| Strategy | [Boxcar] / VolZilla | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2024-01-02 to 2024-09-05 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.11.55-0-gb04f4285 | Structure | Boxcar | Legs | 4 |
| Strategy | [Boxcar] / VolZilla |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2024-01-02 to 2024-09-05 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.11.55-0-gb04f4285 |
| Structure | Boxcar |
| Legs | 4 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 37 | 1 |
| Win/Loss rate | 26 / 11 = 2.36 | - |
| Adjustments | 0 | - |
| PT Hits | 17 | - |
| SL Hits | 6 | - |
| Max DIT Reaches | 17 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 5.59 | 247 |
| Cumulative Return | 12.34% | 15.84% |
| CAGR | 18.76% | 24.27% |
| Max Drawdown from Peak |
-17.71% | -7.94% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 0.71 | 1.8 |
| Alpha | 0.03 | - |
| Beta | 0.83 | - |
| Kelly Criterion | -26.24 | -3.12 |
| Profit Factor | 1.17 | 1.37 |
| Probabilistic Sharpe | 71.36% | 91.91% |
| Annual Volatility | 31.08% | 12.45% |
| Omega | 1.17 | - |
| Information ratio | 0 | - |
| Avg Drawdown | -2.42% | -1.26% |
| Avg Drawdown Days | 8 | 9 |
| Avg Up Month | 7.36 | 3.78 |
| Avg Down Month | -3.03% | -2.65% |
| R^2 | 0.11 | 0.11 |
| Calmar | 1.06 | 3.06 |
| Treynor | 14.82 | - |