| Strategy | [Boxcar-NG] / Boxcar-NG-2021 | Symbol | SPX | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2021-01-04 to 2021-12-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.5.0-0-gaa0ecb4 | Structure | Boxcar-NG | Legs | 4 |
| Strategy | [Boxcar-NG] / Boxcar-NG-2021 |
|---|---|
| Symbol | SPX |
| Max positions | 1 |
| Period | 2021-01-04 to 2021-12-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.5.0-0-gaa0ecb4 |
| Structure | Boxcar-NG |
| 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 from Peak |
-16.25% | -5.54% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| 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% |
| 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 | 13.33 | 2.61 |
| Avg Down Month | N/A | N/A |
| R^2 | 0 | 0 |
| Calmar | 17.3 | 5.62 |
| Treynor | 6249.83 | - |