Boxcar-NG-RUT-2022

Finished
[Boxcar-NG]
RUT 2022-01-03 → 2022-12-30· 1.0 y Boxcar-NG4 legs1 expirationMax positions 1
Finished 23-04-23 11:21Version MesoSim-2.7.0-0-ge13f90a
Cumulative Return help 77.86% RUT -22.26%
CAGR help 79% RUT -22.48%
Win/Loss rate 1.1714 wins / 12 losses
Trade Count 26Avg Days in Trade 5.92
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 RUT drawdown to compare. Click a legend entry to hide its series.

Risk Graph at first entry

Please sign in to see the Risk Graph at first entry.

Statistics

Metric StrategyRUT
Trades
Trade Count 261
Win/Loss rate 14 / 12 = 1.17-
Adjustments 0-
PT Hits 0-
SL Hits 3-
Max DIT Reaches 19-
Settlements 0-
Avg Days in Trade 5.92361
Performance
Cumulative Return 77.86%-22.26%
CAGR 79%-22.48%
Max Drawdown
from Peak		 -28.29%-27.08%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 1.29-0.78
Alpha 0.68-
Beta -0.28-
Kelly Criterion -3.65-63.77
Profit Factor 1.440.88
Probabilistic Sharpe 91.29%21.78%
Annual Volatility 57.13%27.45%
Omega 1.44-
Information ratio 0.09-
Avg Drawdown -9.24%-27.08%
Avg Drawdown Days 49360
Avg Up Month 4.161.94
Avg Down Month -4.41%-5.93%
R^2 0.020.02
Calmar 2.79-0.83
Treynor -273.62-

Next steps

  • Make it yours Clone opens this definition in the Job Editor, to change and run it.

Sign in to open the Position Monitor, StatSim and the AI Assistant for this backtest.