DeltaRay Portal
NameBoxcar / Boxcar-Opt-IVRank60-DeltaNeutral
Period2019-01-02 - 2022-10-28
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 167 1
Win/Loss rate 80 / 87 = 0.92
Adjustments 0
PT Hits 0
SL Hits 5
Max DIT Reaches 153
Settlements 0
Avg Days in Trade 6.68 1395
Cumulative Return 265.45% 54.71%
CAGR 40.37% 12.1%
Max Drawdown -17.08% -32.69%
Sharpe 1.55 0.68
Alpha 0.39 -
Beta -0.14 -
Kelly Criterion 4.31 -17.57
Profit Factor 1.45 1.13
Probabilistic Sharpe 99.89% 90.54%
Smart Sharpe 1.44 0.63
Annual Volatility 23.82% 19.78%
Omega 1.45 -
Information ratio 0.05 -
Avg Drawdown -3.12% -1.75%
Avg Drawdown Days 19 13
Avg Up Month 5.6300 3.3700
Avg Down Month -3.74% -5.81%
R^2 0.01 0.01
Calmar 2.36 0.37
Treynor -1847.73 -
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