Name | Boxcar / Boxcar-OOS |
Period | 2022-11-01 - 2024-07-11 |
Version | MesoSim-2.11.44-0-g2b56474 |
Symbol | SPX |
Cash | $25000 |
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 | - |