| Name | [BoxSpread] / BoxSpread-GLD |
| Period | 2023-01-03 - 2023-10-31 |
| Version | MesoSim-2.13.3-0-gff785e7c |
| Symbol | GLD |
| Cash | $20000 |
| Structure | Long Box |
| Max number of positions in flight | 1 |
| Expirations | 1 |
| Legs | 4 |
| Metric | Strategy | GLD |
|---|---|---|
| Trade Count | 8 | 1 |
| Win/Loss rate | 0 / 8 = 0 | |
| Adjustments | 0 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 0 | |
| Settlements | 32 | |
| Avg Days in Trade | 19.65 | 301 |
| Cumulative Return | -1.69% | 8.95% |
| CAGR | -2.05% | 10.96% |
| Max Drawdown | -1.74% | -11.63% |
| Sharpe | -2.08 | 0.91 |
| Alpha | -0.02 | - |
| Beta | -0.02 | - |
| Kelly Criterion | -29.95 | 1.05 |
| Profit Factor | 0.61 | 1.17 |
| Probabilistic Sharpe | 3.74% | 79.59% |
| Smart Sharpe | -1.34 | 0.58 |
| Annual Volatility | 0.99% | 12.17% |
| Omega | 0.61 | - |
| Information ratio | -0.07 | - |
| Avg Drawdown | -0.76% | -2.82% |
| Avg Drawdown Days | 98 | 28 |
| Avg Up Month | ||
| Avg Down Month | -0.17% | -2.79% |
| R^2 | 0.05 | 0.05 |
| Calmar | -1.17 | 0.94 |
| Treynor | 93.13 | - |