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- Strategy Definition
| Name | Boxcar / Boxcar-OOS |
| Period | 2022-11-01 - 2024-07-11 |
| Version | MesoSim-2.11.44-0-g2b56474 |
| Symbol | SPX |
| Cash | |
| Structure | Boxcar |
| Max number of positions in flight | 1 |
| Expirations | 1 |
| Legs | 4 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 91 | 1 |
| Win/Loss rate | 70 / 21 = 3.33 | |
| Adjustments | 0 | |
| PT Hits | 42 | |
| SL Hits | 11 | |
| Max DIT Reaches | 43 | |
| Settlements | 0 | |
| Avg Days in Trade | 5.76 | 618 |
| Cumulative Return | 75.62% | 44.73% |
| CAGR | 39.46% | 24.4% |
| Max Drawdown | -22.51% | -10.18% |
| Sharpe | 1.34 | 1.67 |
| Alpha | 0.26 | - |
| Beta | 0.5 | - |
| Kelly Criterion | 3.35 | -0.88 |
| Profit Factor | 1.36 | 1.33 |
| Probabilistic Sharpe | 94.05% | 98.52% |
| Smart Sharpe | 1.28 | 1.59 |
| Annual Volatility | 27.89% | 13.68% |
| Omega | 1.36 | - |
| Information ratio | 0.03 | - |
| Avg Drawdown | -2.38% | -1.79% |
| Avg Drawdown Days | 11 | 14 |
| Avg Up Month | 4.5700 | 4.0500 |
| Avg Down Month | -3.51% | -4.43% |
| R^2 | 0.06 | 0.06 |
| Calmar | 1.75 | 2.4 |
| Treynor | 151.51 | - |