NameBoxcar / Boxcar-OOS
Period2022-11-01 - 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 5.76618
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 -
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