Name | [Boxcar-NG] / Boxcar-NG-RUT-2022 |
Period | 2022-01-03 - 2022-12-30 |
Version | MesoSim-2.7.0-0-ge13f90a |
Symbol | RUT |
Cash | $10000 |
Structure | Boxcar-NG |
Max number of positions in flight | 1 |
Expirations | 1 |
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 | -28.29% | -27.08% |
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% |
Smart Sharpe | 1.23 | -0.75 |
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 | 4.1600 | 1.9400 |
Avg Down Month | -4.41% | -5.93% |
R^2 | 0.02 | 0.02 |
Calmar | 2.79 | -0.83 |
Treynor | -273.62 | - |