Boxcar-OOS-IVRank60-DeltaNeutral-TP&SL

Finished
Boxcar
SPX 2017-01-03 → 2018-12-28· 2.0 y Boxcar4 legs1 expirationMax positions 1
Finished 22-11-15 05:29Version MesoSim-2.1.7-0-g5ce4540
Cumulative Return help 72.19% SPX 10.74%
CAGR help 31.52% SPX 5.28%
Win/Loss rate 1.4558 wins / 40 losses
Trade Count 98Avg Days in Trade 6.96
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 981
Win/Loss rate 58 / 40 = 1.45-
Adjustments 0-
PT Hits 0-
SL Hits 3-
Max DIT Reaches 95-
Settlements 0-
Avg Days in Trade 6.96724
Performance
Cumulative Return 72.19%10.74%
CAGR 31.52%5.28%
Max Drawdown
from Peak		 -17.66%-18.89%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 1.320.49
Alpha 0.3-
Beta -0.02-
Kelly Criterion -21.68-10.75
Profit Factor 1.391.09
Probabilistic Sharpe 94.93%75.09%
Annual Volatility 22.82%12.11%
Omega 1.39-
Information ratio 0.06-
Avg Drawdown -2.43%-1.26%
Avg Drawdown Days 1614
Avg Up Month 2.681.74
Avg Down Month -3.8%-6.57%
R^2 00
Calmar 1.780.28
Treynor -4036.97-

Next steps

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