| Strategy | [Boxcar-NG] / Boxcar-NG-RUT-2021 | Symbol | RUT | Max positions | 1 |
|---|---|---|---|---|---|
| Period | 2021-01-04 to 2021-12-30 | Cash | - | Expirations | 1 |
| Version | MesoSim-2.7.0-0-ge13f90a | Structure | Boxcar-NG | Legs | 4 |
| Strategy | [Boxcar-NG] / Boxcar-NG-RUT-2021 |
|---|---|
| Symbol | RUT |
| Max positions | 1 |
| Period | 2021-01-04 to 2021-12-30 |
| Cash | - |
| Expirations | 1 |
| Version | MesoSim-2.7.0-0-ge13f90a |
| Structure | Boxcar-NG |
| Legs | 4 |
| Metric | Strategy | RUT |
|---|---|---|
| Trade Count | 49 | 1 |
| Win/Loss rate | 19 / 30 = 0.63 | - |
| Adjustments | 0 | - |
| PT Hits | 0 | - |
| SL Hits | 4 | - |
| Max DIT Reaches | 45 | - |
| Settlements | 0 | - |
| Avg Days in Trade | 6.82 | 360 |
| Cumulative Return | 72.85% | 17.22% |
| CAGR | 74.17% | 17.48% |
| Max Drawdown from Peak |
-58.07% | -13.64% |
| Max Drawdown on Initial Capital |
N/A | N/A |
| Sharpe | 1.05 | 0.85 |
| Alpha | 1.22 | - |
| Beta | -0.82 | - |
| Kelly Criterion | -2.11 | -30.65 |
| Profit Factor | 1.29 | 1.15 |
| Probabilistic Sharpe | 85.75% | 80.23% |
| Annual Volatility | 102.29% | 21.43% |
| Omega | 1.29 | - |
| Information ratio | 0.05 | - |
| Avg Drawdown | -11.26% | -5.84% |
| Avg Drawdown Days | 37 | 55 |
| Avg Up Month | 18.16 | 4.21 |
| Avg Down Month | -15.04% | -3.52% |
| R^2 | 0.03 | 0.03 |
| Calmar | 1.28 | 1.28 |
| Treynor | -88.38 | - |