Name | [Boxcar-NG] / Boxcar-NG-2021 |
Period | 2021-01-04 - 2021-12-30 |
Version | MesoSim-2.5.0-0-gaa0ecb4 |
Symbol | SPX |
Cash | $10000 |
Structure | Boxcar-NG |
Max number of positions in flight | 1 |
Expirations | 1 |
Legs | 4 |
Metric | Strategy | SPX |
---|---|---|
Trade Count | 50 | 1 |
Win/Loss rate | 29 / 21 = 1.38 | |
Adjustments | 0 | |
PT Hits | 0 | |
SL Hits | 0 | |
Max DIT Reaches | 49 | |
Settlements | 0 | |
Avg Days in Trade | 7.02 | 360 |
Cumulative Return | 274.14% | 30.62% |
CAGR | 281.06% | 31.1% |
Max Drawdown | -16.25% | -5.54% |
Sharpe | 2.63 | 2.08 |
Alpha | 1.47 | - |
Beta | 0.04 | - |
Kelly Criterion | 8.19 | -21.74 |
Profit Factor | 1.9 | 1.44 |
Probabilistic Sharpe | 99.85% | 97.76% |
Smart Sharpe | 1.88 | 1.49 |
Annual Volatility | 56.24% | 13.35% |
Omega | 1.9 | - |
Information ratio | 0.13 | - |
Avg Drawdown | -4.23% | -1.11% |
Avg Drawdown Days | 9 | 7 |
Avg Up Month | 13.3300 | 2.6100 |
Avg Down Month | ||
R^2 | 0 | 0 |
Calmar | 17.3 | 5.62 |
Treynor | 6249.83 | - |