VolZilla

Finished
[Boxcar-NG]
SPX 2024-01-02 → 2024-09-05· 0.7 y Boxcar4 legs1 expirationMax positions 1
Finished 24-09-08 12:55Version MesoSim-2.11.55-0-gb04f4285
Cumulative Return help -56.68% SPX 15.84%
CAGR help -70.96% SPX 24.27%
Win/Loss rate 0.511 wins / 22 losses
Trade Count 33Avg Days in Trade 6.76
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 331
Win/Loss rate 11 / 22 = 0.5-
Adjustments 0-
PT Hits 0-
SL Hits 1-
Max DIT Reaches 31-
Settlements 0-
Avg Days in Trade 6.76247
Performance
Cumulative Return -56.68%15.84%
CAGR -70.96%24.27%
Max Drawdown
from Peak		 -59.58%-7.94%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe -1.51.8
Alpha -0.81-
Beta -0.73-
Kelly Criterion -113-13.27
Profit Factor 0.671.37
Probabilistic Sharpe 5.86%91.91%
Annual Volatility 64.98%12.45%
Omega 0.67-
Information ratio -0.11-
Avg Drawdown -16.77%-1.26%
Avg Drawdown Days 489
Avg Up Month 4.514.51
Avg Down Month -27.52%-0.71%
R^2 0.020.02
Calmar -1.193.06
Treynor 78.03-

Next steps

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