Name[BoxSpread] / BoxSpread-RUT
Period2023-01-03 - 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 18.4300
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 -
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