BoxSpread-GLD

Finished
[BoxSpread]
GLD 2023-01-03 → 2023-10-31· 0.8 y Long Box4 legs1 expirationMax positions 1
Finished 25-06-19 09:14Version MesoSim-2.13.3-0-gff785e7c
Cumulative Return help -1.69% GLD 8.95%
CAGR help -2.05% GLD 10.96%
Win/Loss rate 00 wins / 8 losses
Trade Count 8Avg Days in Trade 19.65
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 GLD drawdown to compare. Click a legend entry to hide its series.

Risk Graph at first entry

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Statistics

Metric StrategyGLD
Trades
Trade Count 81
Win/Loss rate 0 / 8 = 0-
Adjustments 0-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 0-
Settlements 32-
Avg Days in Trade 19.65301
Performance
Cumulative Return -1.69%8.95%
CAGR -2.05%10.96%
Max Drawdown
from Peak		 -1.74%-11.63%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe -2.080.91
Alpha -0.02-
Beta -0.02-
Kelly Criterion -29.951.05
Profit Factor 0.611.17
Probabilistic Sharpe 3.74%79.59%
Annual Volatility 0.99%12.17%
Omega 0.61-
Information ratio -0.07-
Avg Drawdown -0.76%-2.82%
Avg Drawdown Days 9828
Avg Up Month N/AN/A
Avg Down Month -0.17%-2.79%
R^2 0.050.05
Calmar -1.170.94
Treynor 93.13-

Next steps

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