BoxSpread-RUT

Finished
[BoxSpread]
RUT 2023-01-03 → 2023-10-30· 0.8 y Long Box4 legs1 expirationMax positions 1
Finished 23-11-28 14:29Version MesoSim-2.10.30-0-g24826d8
Cumulative Return help 3.81% RUT -6.64%
CAGR help 4.65% RUT -8.02%
Win/Loss rate 9 / 09 wins / 0 losses
Trade Count 9Avg Days in Trade 18.4
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. Drawdown is measured on every NAV row. Click a legend entry to hide its series.

Risk Graph at first entry

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Statistics

Metric StrategyRUT
Trades
Trade Count 91
Win/Loss rate 9 / 0-
Adjustments 0-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 0-
Settlements 36-
Avg Days in Trade 18.4300
Performance
Cumulative Return 3.81%-6.64%
CAGR 4.65%-8.02%
Max Drawdown
from Peak		 -0.98%-17.95%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 1.92-0.32
Alpha 0.05-
Beta 0.01-
Kelly Criterion 2.9-9.64
Profit Factor 1.430.95
Probabilistic Sharpe 95.36%38.47%
Annual Volatility 2.37%19.78%
Omega 1.43-
Information ratio 0.03-
Avg Drawdown -0.19%-6.23%
Avg Drawdown Days 647
Avg Up Month 0.47.58
Avg Down Month N/AN/A
R^2 00
Calmar 4.74-0.45
Treynor 532.02-

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