Boxcar-NG-2021

Finished
[Boxcar-NG]
SPX 2021-01-04 → 2021-12-30· 1.0 y Boxcar-NG4 legs1 expirationMax positions 1
Finished 23-03-02 12:47Version MesoSim-2.5.0-0-gaa0ecb4
Cumulative Return help 274.14% SPX 30.62%
CAGR help 281.06% SPX 31.1%
Win/Loss rate 1.3829 wins / 21 losses
Trade Count 50Avg Days in Trade 7.02
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 501
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 7.02360
Performance
Cumulative Return 274.14%30.62%
CAGR 281.06%31.1%
Max Drawdown
from Peak		 -16.25%-5.54%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 2.632.08
Alpha 1.47-
Beta 0.04-
Kelly Criterion 8.19-21.74
Profit Factor 1.91.44
Probabilistic Sharpe 99.85%97.76%
Annual Volatility 56.24%13.35%
Omega 1.9-
Information ratio 0.13-
Avg Drawdown -4.23%-1.11%
Avg Drawdown Days 97
Avg Up Month 13.332.61
Avg Down Month N/AN/A
R^2 00
Calmar 17.35.62
Treynor 6249.83-

Next steps

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