| Strategy | [Boxcar-NG] / Boxcar-NG-RUT-2022 | Symbol | RUT | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2022-01-03 to 2022-12-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.7.0-0-ge13f90a | Structure | Boxcar-NG | Legs | 4 |
| Strategy | [Boxcar-NG] / Boxcar-NG-RUT-2022 |
|---|---|
| Symbol | RUT |
| Max positions | 1 |
| Period | 2022-01-03 to 2022-12-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.7.0-0-ge13f90a |
| Structure | Boxcar-NG |
| Legs | 4 |
| Metric | Strategy | RUT |
|---|---|---|
| Trade Count | 26 | 1 |
| 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 | 5.92 | 361 |
| Cumulative Return | 77.86% | -22.26% |
| CAGR | 79% | -22.48% |
| Max Drawdown from Peak |
-28.29% | -27.08% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 1.29 | -0.78 |
| Alpha | 0.68 | - |
| Beta | -0.28 | - |
| Kelly Criterion | -3.65 | -63.77 |
| Profit Factor | 1.44 | 0.88 |
| 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 | 49 | 360 |
| Avg Up Month | 4.16 | 1.94 |
| Avg Down Month | -4.41% | -5.93% |
| R^2 | 0.02 | 0.02 |
| Calmar | 2.79 | -0.83 |
| Treynor | -273.62 | - |