Boxcar-NG

Finished
SPX 2019-01-02 → 2022-10-28· 3.8 y Boxcar4 legs1 expirationMax positions 1
Finished 22-11-20 17:15Version MesoSim-2.1.7-0-g5ce4540
Cumulative Return help 134.03% SPX 54.71%
CAGR help 24.92% SPX 12.1%
Win/Loss rate 2.43141 wins / 58 losses
Trade Count 199Avg Days in Trade 4.8
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 1991
Win/Loss rate 141 / 58 = 2.43-
Adjustments 0-
PT Hits 133-
SL Hits 6-
Max DIT Reaches 61-
Settlements 0-
Avg Days in Trade 4.81395
Performance
Cumulative Return 134.03%54.71%
CAGR 24.92%12.1%
Max Drawdown
from Peak		 -17.22%-32.69%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 1.280.68
Alpha 0.24-
Beta -0.01-
Kelly Criterion -5.3-9.56
Profit Factor 1.441.13
Probabilistic Sharpe 98.98%90.58%
Annual Volatility 18.74%19.67%
Omega 1.44-
Information ratio 0.02-
Avg Drawdown -1.49%-1.75%
Avg Drawdown Days 1313
Avg Up Month 3.713.78
Avg Down Month -5.29%-6.48%
R^2 00
Calmar 1.450.37
Treynor -12503.6-

Next steps

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