| Name | Boxcar / Boxcar-Opt-Baseline |
| Period | 2019-01-02 - 2022-10-28 |
| Version | MesoSim-2.1.7-0-g5ce4540 |
| Symbol | SPX |
| Cash | $25000 |
| Structure | Boxcar |
| Max number of positions in flight | 1 |
| Expirations | 1 |
| Legs | 4 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 183 | 1 |
| Win/Loss rate | 170 / 13 = 13.08 | |
| Adjustments | 0 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 183 | |
| Settlements | 0 | |
| Avg Days in Trade | 7.05 | 1395 |
| Cumulative Return | 283.53% | 54.71% |
| CAGR | 42.15% | 12.1% |
| Max Drawdown | -56.81% | -32.69% |
| Sharpe | 1 | 0.68 |
| Alpha | 0.34 | - |
| Beta | 0.75 | - |
| Kelly Criterion | 2.48 | -11.68 |
| Profit Factor | 1.41 | 1.13 |
| Probabilistic Sharpe | 98.92% | 90.53% |
| Smart Sharpe | 0.93 | 0.63 |
| Annual Volatility | 44.54% | 19.81% |
| Omega | 1.41 | - |
| Information ratio | 0.05 | - |
| Avg Drawdown | -2.55% | -1.75% |
| Avg Drawdown Days | 9 | 13 |
| Avg Up Month | 5.8600 | 4.5300 |
| Avg Down Month | -13.54% | -8.8% |
| R^2 | 0.11 | 0.11 |
| Calmar | 0.74 | 0.37 |
| Treynor | 378.61 | - |