| Strategy | Boxcar / Boxcar-OOS-IVRank60-DeltaNeutral-TP&SL | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2017-01-03 to 2018-12-28 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.1.7-0-g5ce4540 | Structure | Boxcar | Legs | 4 |
| Strategy | Boxcar / Boxcar-OOS-IVRank60-DeltaNeutral-TP&SL |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2017-01-03 to 2018-12-28 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.1.7-0-g5ce4540 |
| Structure | Boxcar |
| Legs | 4 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 98 | 1 |
| 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 | 6.96 | 724 |
| 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/A | N/A |
| Sharpe | 1.32 | 0.49 |
| Alpha | 0.3 | - |
| Beta | -0.02 | - |
| Kelly Criterion | -21.68 | -10.75 |
| Profit Factor | 1.39 | 1.09 |
| 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 | 16 | 14 |
| Avg Up Month | 2.68 | 1.74 |
| Avg Down Month | -3.8% | -6.57% |
| R^2 | 0 | 0 |
| Calmar | 1.78 | 0.28 |
| Treynor | -4036.97 | - |