| Name | [Boxcar-NG] / 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 | 33 | 1 |
| Win/Loss rate | 11 / 22 = 0.5 | |
| Adjustments | 0 | |
| PT Hits | 0 | |
| SL Hits | 1 | |
| Max DIT Reaches | 31 | |
| Settlements | 0 | |
| Avg Days in Trade | 6.76 | 247 |
| Cumulative Return | -56.68% | 15.84% |
| CAGR | -70.96% | 24.27% |
| Max Drawdown | -59.58% | -7.94% |
| Sharpe | -1.5 | 1.8 |
| Alpha | -0.81 | - |
| Beta | -0.73 | - |
| Kelly Criterion | -113 | -13.27 |
| Profit Factor | 0.67 | 1.37 |
| Probabilistic Sharpe | 5.86% | 91.91% |
| Smart Sharpe | -1.41 | 1.69 |
| Annual Volatility | 64.98% | 12.45% |
| Omega | 0.67 | - |
| Information ratio | -0.11 | - |
| Avg Drawdown | -16.77% | -1.26% |
| Avg Drawdown Days | 48 | 9 |
| Avg Up Month | 4.5100 | 4.5100 |
| Avg Down Month | -27.52% | -0.71% |
| R^2 | 0.02 | 0.02 |
| Calmar | -1.19 | 3.06 |
| Treynor | 78.03 | - |