Name | [BoxSpread] / BoxSpread-RUT |
Period | 2023-01-03 - 2023-10-30 |
Version | MesoSim-2.10.30-0-g24826d8 |
Symbol | RUT |
Cash | $20000 |
Structure | Long Box |
Max number of positions in flight | 1 |
Expirations | 1 |
Legs | 4 |
Metric | Strategy | RUT |
---|---|---|
Trade Count | 9 | 1 |
Win/Loss rate | 9 / 0 = ∞ | |
Adjustments | 0 | |
PT Hits | 0 | |
SL Hits | 0 | |
Max DIT Reaches | 0 | |
Settlements | 36 | |
Avg Days in Trade | 18.4 | 300 |
Cumulative Return | 3.81% | -6.64% |
CAGR | 4.65% | -8.02% |
Max Drawdown | -0.98% | -17.95% |
Sharpe | 1.92 | -0.32 |
Alpha | 0.05 | - |
Beta | 0.01 | - |
Kelly Criterion | 2.9 | -9.64 |
Profit Factor | 1.43 | 0.95 |
Probabilistic Sharpe | 95.36% | 38.47% |
Smart Sharpe | 1.2 | -0.2 |
Annual Volatility | 2.37% | 19.78% |
Omega | 1.43 | - |
Information ratio | 0.03 | - |
Avg Drawdown | -0.19% | -6.23% |
Avg Drawdown Days | 6 | 47 |
Avg Up Month | 0.4000 | 7.5800 |
Avg Down Month | ||
R^2 | 0 | 0 |
Calmar | 4.74 | -0.45 |
Treynor | 532.02 | - |