| Name | Boxcar / Boxcar-Baseline |
| Period | 2019-01-02 - 2022-10-28 |
| Version | MesoSim-2.1.7-0-g5ce4540 |
| Symbol | SPX |
| Cash | $25000 |
| Structure | Boxcar |
| Max number of positions in flight | 1 |
| Expirations | 1 |
| Legs | 4 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 211 | 1 |
| Win/Loss rate | 177 / 34 = 5.21 | |
| Adjustments | 0 | |
| PT Hits | 109 | |
| SL Hits | 32 | |
| Max DIT Reaches | 85 | |
| Settlements | 0 | |
| Avg Days in Trade | 5.31 | 1395 |
| Cumulative Return | 134.94% | 54.71% |
| CAGR | 25.04% | 12.1% |
| Max Drawdown | -47.43% | -32.69% |
| Sharpe | 0.97 | 0.68 |
| Alpha | 0.18 | - |
| Beta | 0.64 | - |
| Kelly Criterion | -3.72 | -7.64 |
| Profit Factor | 1.31 | 1.13 |
| Probabilistic Sharpe | 95.61% | 90.58% |
| Smart Sharpe | 0.93 | 0.65 |
| Annual Volatility | 27.09% | 19.69% |
| Omega | 1.31 | - |
| Information ratio | 0.03 | - |
| Avg Drawdown | -1.77% | -1.75% |
| Avg Drawdown Days | 11 | 13 |
| Avg Up Month | 6.2000 | 4.8800 |
| Avg Down Month | -10.23% | -5.84% |
| R^2 | 0.21 | 0.21 |
| Calmar | 0.53 | 0.37 |
| Treynor | 212.33 | - |