Name[Boxcar-NG] / Boxcar-NG-2022
Period2022-01-03 - 2022-12-30
Version MesoSim-2.5.0-0-gaa0ecb4
Symbol SPX
Cash $10000
Structure Boxcar-NG
Max number of positions in flight 1
Expirations 1
Legs 4
Metric Strategy SPX
Trade Count 32 1
Win/Loss rate 18 / 14 = 1.29
Adjustments 0
PT Hits 0
SL Hits 2
Max DIT Reaches 22
Settlements 0
Avg Days in Trade 5.78 361
Cumulative Return 152.51% -19.92%
CAGR 155.12% -20.12%
Max Drawdown -50.02% -24.89%
Sharpe 1.56 -0.85
Alpha 1.2 -
Beta -0.12 -
Kelly Criterion 4.09 -82.26
Profit Factor 1.53 0.87
Probabilistic Sharpe 95.26% 19.71%
Smart Sharpe 1.41 -0.77
Annual Volatility 78.15% 22.93%
Omega 1.53 -
Information ratio 0.11 -
Avg Drawdown -8.32% -24.89%
Avg Drawdown Days 27 360
Avg Up Month
Avg Down Month -6.2% -7.65%
R^2 0 0
Calmar 3.1 -0.81
Treynor -1239.98 -
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