DeltaRay Portal
NameBoxcar / Boxcar-NG-Full
Period2017-01-03 - 2022-10-31
Version MesoSim-2.1.7-0-g5ce4540
Symbol SPX
Cash $25,000
Structure Boxcar
Max number of positions in flight 1
Expirations 1
Legs 4
Metric Strategy ^SPX
Trade Count 265 1
Win/Loss rate 138 / 127 = 1.09
Adjustments 0
PT Hits 0
SL Hits 8
Max DIT Reaches 248
Settlements 0
Avg Days in Trade 6.78 2127
Cumulative Return 337.64% 72.26%
CAGR 28.83% 9.78%
Max Drawdown -17.66% -32.69%
Sharpe 1.46 0.62
Alpha 0.28 -
Beta -0.08 -
Kelly Criterion -6.26 -15.31
Profit Factor 1.43 1.12
Probabilistic Sharpe 99.93% 93.16%
Smart Sharpe 1.38 0.59
Annual Volatility 18.63% 17.52%
Omega 1.43 -
Information ratio 0.04 -
Avg Drawdown -2.17% -1.72%
Avg Drawdown Days 21 16
Avg Up Month 3.3700 2.7200
Avg Down Month -2.95% -5.96%
R^2 0.01 0.01
Calmar 1.63 0.3
Treynor -4086.58 -
Reload 🗙