Name | [Boxcar] / VolZilla |
Period | 2024-01-02 - 2024-09-05 |
Version | MesoSim-2.11.55-0-gb04f4285 |
Symbol | SPX |
Cash | $25000 |
Structure | Boxcar |
Max number of positions in flight | 1 |
Expirations | 1 |
Legs | 4 |
Metric | Strategy | SPX |
---|---|---|
Trade Count | 37 | 1 |
Win/Loss rate | 26 / 11 = 2.36 | |
Adjustments | 0 | |
PT Hits | 17 | |
SL Hits | 6 | |
Max DIT Reaches | 17 | |
Settlements | 0 | |
Avg Days in Trade | 5.59 | 247 |
Cumulative Return | 12.34% | 15.84% |
CAGR | 18.76% | 24.27% |
Max Drawdown | -17.71% | -7.94% |
Sharpe | 0.71 | 1.8 |
Alpha | 0.03 | - |
Beta | 0.83 | - |
Kelly Criterion | -26.24 | -3.12 |
Profit Factor | 1.17 | 1.37 |
Probabilistic Sharpe | 71.36% | 91.91% |
Smart Sharpe | 0.67 | 1.71 |
Annual Volatility | 31.08% | 12.45% |
Omega | 1.17 | - |
Information ratio | 0 | - |
Avg Drawdown | -2.42% | -1.26% |
Avg Drawdown Days | 8 | 9 |
Avg Up Month | 7.3600 | 3.7800 |
Avg Down Month | -3.03% | -2.65% |
R^2 | 0.11 | 0.11 |
Calmar | 1.06 | 3.06 |
Treynor | 14.82 | - |