| Strategy | [BoxSpread] / BoxSpread-RUT | Symbol | RUT | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2023-01-03 to 2023-10-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.10.30-0-g24826d8 | Structure | Long Box | Legs | 4 |
| Strategy | [BoxSpread] / BoxSpread-RUT |
|---|---|
| Symbol | RUT |
| Max positions | 1 |
| Period | 2023-01-03 to 2023-10-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.10.30-0-g24826d8 |
| Structure | Long Box |
| 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 from Peak |
-0.98% | -17.95% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| 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% |
| 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 | 0.4 | 7.58 |
| Avg Down Month | N/A | N/A |
| R^2 | 0 | 0 |
| Calmar | 4.74 | -0.45 |
| Treynor | 532.02 | - |