| Name | [BoxSpread] / VolZilla |
| Period | 2024-01-02 - 2024-09-05 |
| Version | MesoSim-2.11.55-0-gb04f4285 |
| Symbol | SPX |
| Cash | $20000 |
| Structure | Long Box |
| Max number of positions in flight | 1 |
| Expirations | 1 |
| Legs | 4 |
| Metric | Strategy | SPX |
|---|---|---|
| Trade Count | 7 | 1 |
| Win/Loss rate | 6 / 0 = ∞ | |
| Adjustments | 0 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 0 | |
| Settlements | 28 | |
| Avg Days in Trade | 19.41 | 247 |
| Cumulative Return | 3.22% | 16.95% |
| CAGR | 4.79% | 26.03% |
| Max Drawdown | -2.19% | -8.56% |
| Sharpe | 0.65 | 1.85 |
| Alpha | 0.04 | - |
| Beta | 0.02 | - |
| Kelly Criterion | 15.08 | 4.43 |
| Profit Factor | 1.13 | 1.4 |
| Probabilistic Sharpe | 70.49% | 91.53% |
| Smart Sharpe | 0.37 | 1.05 |
| Annual Volatility | 7.6% | 12.91% |
| Omega | 1.13 | - |
| Information ratio | -0.08 | - |
| Avg Drawdown | -0.81% | -1.41% |
| Avg Drawdown Days | 14 | 10 |
| Avg Up Month | 0.4700 | 3.4000 |
| Avg Down Month | ||
| R^2 | 0 | 0 |
| Calmar | 2.19 | 3.04 |
| Treynor | 144.46 | - |