Boxcar-NG-RUT-2021

Finished
[Boxcar-NG]
RUT 2021-01-04 → 2021-12-30· 1.0 y Boxcar-NG4 legs1 expirationMax positions 1
Finished 23-04-23 11:20Version MesoSim-2.7.0-0-ge13f90a
Cumulative Return help 72.85% RUT 17.22%
CAGR help 74.17% RUT 17.48%
Win/Loss rate 0.6319 wins / 30 losses
Trade Count 49Avg Days in Trade 6.82
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. Drawdown is the strategy's, from its peak on every NAV row; click RUT drawdown to compare. Click a legend entry to hide its series.

Risk Graph at first entry

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Statistics

Metric StrategyRUT
Trades
Trade Count 491
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 6.82360
Performance
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/AN/A
Sharpe 1.050.85
Alpha 1.22-
Beta -0.82-
Kelly Criterion -2.11-30.65
Profit Factor 1.291.15
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 3755
Avg Up Month 18.164.21
Avg Down Month -15.04%-3.52%
R^2 0.030.03
Calmar 1.281.28
Treynor -88.38-

Next steps

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