Name[Boxcar-NG] / Boxcar-NG-RUT-2022
Period2022-01-03 - 2022-12-30
Version MesoSim-2.7.0-0-ge13f90a
Symbol RUT
Cash $10000
Structure Boxcar-NG
Max number of positions in flight 1
Expirations 1
Legs 4
Metric Strategy RUT
Trade Count 26 1
Win/Loss rate 14 / 12 = 1.17
Adjustments 0
PT Hits 0
SL Hits 3
Max DIT Reaches 19
Settlements 0
Avg Days in Trade 5.92 361
Cumulative Return 77.86% -22.26%
CAGR 79% -22.48%
Max Drawdown -28.29% -27.08%
Sharpe 1.29 -0.78
Alpha 0.68 -
Beta -0.28 -
Kelly Criterion -3.65 -63.77
Profit Factor 1.44 0.88
Probabilistic Sharpe 91.29% 21.78%
Smart Sharpe 1.23 -0.75
Annual Volatility 57.13% 27.45%
Omega 1.44 -
Information ratio 0.09 -
Avg Drawdown -9.24% -27.08%
Avg Drawdown Days 49 360
Avg Up Month 4.1600 1.9400
Avg Down Month -4.41% -5.93%
R^2 0.02 0.02
Calmar 2.79 -0.83
Treynor -273.62 -
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